Finance Research Seminar – Dr Deeya Sewraj
Date: 25 March 2026
Time: 14:00-15:00
Venue: NUBS.2.14
If you would like to attend, please register using the following link
Speaker: Dr Deeya Sewraj
https://www.ncl.ac.uk/business/people/profile/deeyasewraj.html
Abstract:
This paper studies sentiment-driven co-movement across fundamentally unrelated securities. We focus on small-cap growth equities and cryptocurrencies, two asset classes with no obvious shared cash-flow fundamentals, valuation anchors, or economic exposure, yet which exhibit significant co-movement in price. Using a regime-switching framework and three unique investor sentiment indexes, we show that this co-movement is strongly state-dependent: correlations and common price variation rise sharply during positive-sentiment regimes and attenuate during negative-sentiment regimes. To pinpoint the securities most exposed to this mechanism, we construct regime-specific baskets of small-cap growth firms using textual analysis of retail-investor messaging boards. These boards proxy for noise traders who are more susceptible to shifts in attention and irrational exuberance. The resulting baskets display the strongest and most sentiment-sensitive co-movement with cryptocurrencies. In contrast, we find no comparable regime-switching co-movement between cryptocurrencies and large-cap equities when large-cap baskets are constructed from textual analysis of traditional financial media (Financial Times and Bloomberg), which we interpret as a proxy for informed, professional investor attention. Overall, our results support a behavioural channel in which retail sentiment and attention generate correlated demand shocks across otherwise unrelated assets, with implications for diversification, risk management, and the interpretation of cross-asset “contagion” episodes.
- Category
- Tags