Paper Title
Investor Sentiment and Volatility in Indian Stock Market: During Coronavirus Outbreak

This study probes the relationship between investors' sentiment and volatility in the Indian stock market during the Coronavirus pandemic. Several market-related variables are used along with confirmed cases of Coronavirus as sentiment proxies to form a sentiment variable using PCA (Principal Component Analysis) technique. Conditional volatility is captured using the GARCH (1,1) model. The effect of investors' sentiment on conditional volatility in the Indian stock market is explored through quantile regression analysis on daily data. Results show that investors' sentiment negatively and significantly impacts conditional volatility only at upper quantiles of conditional volatility. Keywords - Sentiment, Conditional volatility, Quantile regression, Coronavirus.