Abstract
The determinants of fear gauge from March
2005 to September 2019 are empirically examined with attention to the single
equity volatility index (VIX). This study utilized Poisson and Negative
Binomial Regressions to investigate the link between perceived risk count and
its variables at certain levels of quantiles. The Negative Binomial model was
chosen based on the highest log-likelihood value and the lowest the Akaike
information criterion (AIC) value to analyze the market psychology condition of
investors. The result of the return on equity (ROE), cash conversion cycle
(CCC), and dividend payout ratio (DPR) are negatively significant in both
medium and higher quantile of perceived risk count. The debt ratio and free
cash flow (FCF) positively affect the perceived risk count. The impacts of
variables on higher quantile have a greater influence on perceived risk count,
followed by medium quantile.
JEL classification numbers: G32.
Keywords: Perceived Risk Count, Equity VIX, Poisson and Negative
Binomial Regressions.