scholarly journals If global or local investor sentiments are prone to developing an impact on stock returns, is there an industry effect?

2020 ◽  
Author(s):  
Jing Shi ◽  
Marcel Ausloos ◽  
Tingting Zhu
Keyword(s):  
Stock Returns ◽  
Industry Effect ◽  
Investor Sentiments

Do Indian stock market sentiments impact contemporaneous returns?

2018 ◽  
Vol 7 (3) ◽  
pp. 332-346
Author(s):  
Divya Aggarwal ◽  
Pitabas Mohanty
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Temporal Dynamics ◽  
Stock Exchange ◽  
Principal Component ◽  
Stock Index ◽  
Content Type ◽  
Investor Sentiments ◽  
Indian Stock Market ◽  
The Impact

Purpose The purpose of this paper is to analyse the impact of Indian investor sentiments on contemporaneous stock returns of Bombay Stock Exchange, National Stock Exchange and various sectoral indices in India by developing a sentiment index. Design/methodology/approach The study uses principal component analysis to develop a sentiment index as a proxy for Indian stock market sentiments over a time frame from April 1996 to January 2017. It uses an exploratory approach to identify relevant proxies in building a sentiment index using indirect market measures and macro variables of Indian and US markets. Findings The study finds that there is a significant positive correlation between the sentiment index and stock index returns. Sectors which are more dependent on institutional fund flows show a significant impact of the change in sentiments on their respective sectoral indices. Research limitations/implications The study has used data at a monthly frequency. Analysing higher frequency data can explain short-term temporal dynamics between sentiments and returns better. Further studies can be done to explore whether sentiments can be used to predict stock returns. Practical implications The results imply that one can develop profitable trading strategies by investing in sectors like metals and capital goods, which are more susceptible to generate positive returns when the sentiment index is high. Originality/value The study supplements the existing literature on the impact of investor sentiments on contemporaneous stock returns in the context of a developing market. It identifies relevant proxies of investor sentiments for the Indian stock market.

scholarly journals Rational Expectations, Irrational Exuberance: Linkage between U.S. Investors and Pacific-Basin Stock Returns

2009 ◽  
Author(s):  
Rahul Verma
Keyword(s):  
Hong Kong ◽  
Stock Returns ◽  
Institutional Investors ◽  
Rational Expectations ◽  
Pacific Basin ◽  
Individual Investors ◽  
Investor Sentiments ◽  
Irrational Exuberance ◽  
The U.S

We shed new light on the relevance of rational expectations and irrational exuberance of U.S. individual and institutional investors on Pacific-Basin stock returns. We find insignificant effects of irrational exuberance and significant effect of rational expectations on Asian markets with varying degrees of intensity. There are greater responses of Hong Kong, Malaysia, Philippines, and Singapore while weaker linkages with Taiwan, Thailand, and Korea. Overall evidence suggests that rational expectations of institutional investors are transmitted to a greater extent than those of individual investors. These results are consistent with the view that international effects of the U.S. market can be attributed to rational investor sentiments.  

scholarly journals Investor Sentiment in Stock Market: A Case of Pakistan Super League in Pakistan Stock Exchange

2021 ◽  
Vol 4 (2) ◽  
pp. 101-121
Author(s):  
FURQAN ULLAH ◽  
MUHAMMAD ASIF ◽  
MUHAMMAD ZAHID ◽  
FAIZA MEHREEN
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
United Arab Emirates ◽  
Behavioral Finance ◽  
Abnormal Return ◽  
Stock Exchange ◽  
Investor Sentiment ◽  
Sports Events ◽  
Investor Sentiments ◽  
Super League

This study investigates whether sentiments play any role while investors make financial decisions which results in the stock returns. The paper analyzes the major two sports events (2016-2017) of Pakistan Super League (PSL). The study utilizes the stock market data from Pakistan Stock Exchange (PSX)-100 index for the period of two financial years starting from June 2015 to July 2017. PSL T20 data is collected from the official PSL website. The empirical results of the studyshow that PSL sports events are highly statistically significant and imply that the events trigger investor sentiments (optimistic and pessimistic behaviors) in the PSX.When the whole PSL games were played on United Arab Emirates (UAE) grounds in 2016, later on, which badly affected the investor moods and resulted in a negative abnormal return in PSX-100 index. While in case of PSL event in 2017, in which only final match of the event was held in Lahore, Pakistan and resulted in a positive abnormal return in PSX-100 index. The study provides implications for different authorities such as Pakistan Cricket Board (PCB), PSX and other development authorities in order to promote such activities for the overall economic and social benefits. While founding no previous studies concerning the subject in the Pakistani context, the Scholar selected the issue to conduct a research and make a considerable contribution for investors in Pakistan with respect to PSL events and its impact on PSX. Keywords: Investor Sentiments, Stock returns, behavioral finance, Pakistan Super League, Pakistan Stock Exchange

COVID-19-induced Returns, Attention, Sentiments and Social Isolation: Evidence from Dynamic Panel Model

2021 ◽  
pp. 097215092199617
Author(s):  
Farzan Yahya ◽  
Zhang Shaohua ◽  
Ulfat Abbas ◽  
Muhammad Waqas
Keyword(s):  
Stock Returns ◽  
Social Isolation ◽  
Stock Exchange ◽  
Investor Sentiment ◽  
Good News ◽  
Dynamic Panel ◽  
Investor Attention ◽  
Dynamic Panel Model ◽  
Panel Model ◽  
Investor Sentiments

This article develops a dynamic panel model to examine the association among coronavirus outbreak, investor attention, social isolation, investor sentiments and stock returns in the German Stock exchange. The results of the two-step GMM estimator show a significant effect of coronavirus disease 2019 (COVID-19) cases on the Frankfurt Stock Exchange after controlling for calendar anomalies, meteorological conditions, country-specific factors and oil returns. Results also show that a higher level of stock returns during social isolation (lockdown period) is explained by investor attention to buy underpriced stocks. Thus, temporary social isolation enhances an investor’s ability to make better investment decisions. Investor sentiment indicators (momentum and liquidity) are also positively associated with the stock return and partially mediate the COVID-returns link, but they have no direct effect on investor attention. The stock market attracts investor attention under good news shocks (recovered cases) when investor sentiments are optimistic. Our results are robust across the transparency level of firms and their size.

scholarly journals PENGEMBALIAN SAHAM, RISIKO PASAR, DAN SENTIMEN

2019 ◽  
Vol 14 (1) ◽  
Author(s):  
Winston Pontoh
Keyword(s):  
Logistic Regression ◽  
Stock Returns ◽  
Market Risk ◽  
Investor Sentiments ◽  
Relationship Of ◽  
The Relationship

The relationship between stock returns, risk, and investor sentiments still a debate in the fieldof finance and accounting. Most of researchers find different results for relationship betweenstock returns, risk, and investor sentiments. This study conducts logistic regression to analyzethe relationship of market risk and investor sentiments on stock returns of 146 Indonesianpublic firms as dividend payers along period of 2010 to 2016. This study finds that alongperiod of 2010 to 2016 most of stock returns are affected by investor sentiments. This studyalso finds that market risk does not affect the stock returns since this study reveals thatmarket risk between higher and lower stock returns have not differences.

scholarly journals COVID-Induced Investor Sentiments and Market Reaction under Extreme Meteorological Conditions: Evidence from Clean Energy Sector of Asia-Pacific

2021 ◽  
Vol 16 (1) ◽  
pp. 7-15
Author(s):  
Farzan Yahya ◽  
◽  
Zhang Shaohua ◽  
Muhammad Waqas ◽  
Zhengde Xiong ◽  
...  
Keyword(s):  
Stock Returns ◽  
Clean Energy ◽  
Energy Sector ◽  
Asia Pacific ◽  
External Shocks ◽  
Asian Pacific Region ◽  
Energy Demands ◽  
Investor Sentiments ◽  
Negative Effect ◽  
Asian Pacific

The unprecedented global economic and social crisis caused by the coronavirus outbreak has not spared the energy sector. Using a dynamic model, we investigated the effect of COVID-19 cases on investor sentiments and stock returns of clean energy in the Asian-Pacific region. The results show that coronavirus cases negatively affect stock returns using investor sentiments as a transmission channel. We also find a negative effect of air pollution on stock returns. Since COVID-19 restricted trade and plummeted the oil prices, economies relied on non-renewable sources to meet energy demands. Nevertheless, the investor’s optimism and high sentiment level may deteriorate this link. On the other hand, we do not find any significant effect of low-high temperature on either investor sentiments or clean energy stock returns. Clean energy stocks were viewed as more sustainable and less vulnerable to external shocks, however, the fear and pessimism among investors induced by corona-virus are spilled over the renewable energy sector.

The relationship between individual investor sentiment, stock return and volatility

2015 ◽  
Vol 10 (3) ◽  
pp. 504-520 ◽  
Author(s):  
Mustafa Sayim ◽  
Hamid Rahman
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Return ◽  
Emerging Market ◽  
Investor Sentiment ◽  
Individual Investor ◽  
Content Type ◽  
Investor Sentiments ◽  
Market Fundamentals ◽  
The Impact

Purpose – The purpose of this paper is to examine the impact of Turkish individual investor sentiment on the Istanbul Stock Exchange (ISE) and to investigate whether investor sentiment, stock return and volatility in Turkey are related. Design/methodology/approach – This study used the monthly Turkish Consumer Confidence Index, published by the Turkish Statistical Institute, as a proxy for individual investor sentiments. First, Turkish market fundamentals were regressed on investor sentiments in order to capture the effects of macroeconomic risk factors on investor sentiments. Then, it used the impulse response functions (IRFs) generated from the vector autoregression (VAR) model to examine the effect of unanticipated movements in Turkish investor sentiment to both stock returns and volatility of the ISE. Findings – The generalized IRFs from VAR shows that unexpected changes in rational and irrational investor sentiment have a significant positive impact on ISE returns. This suggests that a positive investor sentiment tends to increase ISE returns. The study also documents that unanticipated increase in the rational component of Turkish investor sentiment has a negative significant effect on ISE volatility. This might indicate that investors have optimistic expectations of the economy overall with respect to market fundamentals in Turkey. This optimism can result in creating positive expectations, reducing uncertainty, and reducing the volatility of stock market returns. Research limitations/implications – The study was applied only for the period 2004-2010 on the ISE stock returns and volatility. Practical implications – Regardless, investors should know the impact of irrational investor sentiments while establishing investment strategies. The results of this study may also help policy makers stabilize investor sentiments to reduce stock market volatility and uncertainty. Originality/value – This paper adds to the limited understanding of investor sentiment impact on stock return and volatility in an emerging market context.

Freedom Indices and Capital Asset Pricing Model: Some Malaysian Evidence

2020 ◽  
Vol 1 (1) ◽  
pp. 1-21
Author(s):  
Ying Tay Lee ◽  
Devinaga Rasiah ◽  
Ming Ming Lai
Keyword(s):  
Human Rights ◽  
Asset Pricing ◽  
Stock Returns ◽  
Firm Size ◽  
Explanatory Power ◽  
Least Square ◽  
Press Freedom ◽  
Capital Asset Pricing ◽  
Capital Asset ◽  
Cross Sectional

Human rights and fundamental freedoms such as economic, political, and press freedoms vary widely from country to country. It creates opportunity and risk in investment decisions. Thus, this study is carried out to examine if the explanatory power of the model for capital asset pricing could be improved when these human rights movement indices are included in the model. The sample for this study comprises of 495 stocks listed in Bursa Malaysia, covering the sampling period from 2003 to 2013. The model applied in this study employed the pooled ordinary least square regression estimation. In addition, the robustness of the model is tested by using firm size as a controlled variable. The findings show that market beta as well as the economic and press freedom indices could explain the cross-sectional stock returns of the Malaysian stock market. By controlling the firm size, it adds marginally to the explanation of the extended CAP model which incorporated economic, political, and press freedom indices.

Geographic Concentration of Firm’s Income-Producing Assets and Stock Returns

2018 ◽  
Author(s):  
Stanimira Milcheva ◽  
Yildiray Yildirim ◽  
Zhu Bing
Keyword(s):  
Stock Returns ◽  
Geographic Concentration
Sign in / Sign up

Export Citation Format

Share Document