Investor Sentiment and Sovereign Risk:Empirical Evidence from an Emerging Market
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Abstract
This paper aims to test the relationship between investor sentiment and sovereign risk in Turkey for the period 2004-2010. Our findings support that there is no cointegration, in other words long term relationship between investor sentiment and sovereign risk. In short run, we find causality relationship from investor sentiment and sovereign risk. The findings of the paper is important for Turkish government officials and market participants.
Keywords
Investor sentiment, sovereign risk, cointegration, Granger causality
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