  We measure bond and stock conditional return volatility as a function of
changes in sentiment, proxied by six indicators from the Tel Aviv Stock
Exchange. We find that changes in sentiment affect conditional volatilities at
different magnitudes and often in an opposite manner in the two markets,
subject to market states. We are the first to measure bonds conditional
volatility of retail investors sentiment thanks to a unique dataset of
corporate bond returns from a limit-order-book with highly active retail
traders. This market structure differs from the prevalent OTC platforms, where
institutional investors are active yet less prone to sentiment.

General Economics;Economics