Market Reaction to Macroeconomic News: The Role of Investor Sentiment

2017 ◽  
Vol 46 (6) ◽  
pp. 853-875 ◽  
Author(s):  
Hung-Kun Chen ◽  
Chen-Ting Lien
Keyword(s):  
Market Reaction ◽  
Investor Sentiment ◽  
Macroeconomic News

scholarly journals ARE ISLAMIC STOCKS LESS EXPOSED TO SENTIMENT-BASED MISPRICING THAN NON-ISLAMIC ONES? EVIDENCE FROM THE INDONESIAN STOCK EXCHANGE

2021 ◽  
Vol 7 (1) ◽  
Author(s):  
Rizqi Umar Al Hashfi ◽  
Ahmad Maulin Naufa ◽  
U’um Munawaroh
Keyword(s):  
Capital Market ◽  
Stock Exchange ◽  
Investor Sentiment ◽  
Principal Component ◽  
Equation Model ◽  
Cross Sectional ◽  
Stock Mispricing ◽  
Time Invariant ◽  
Islamic Values

The aim of this research is to verify the role of Islamic value in stock mispricing in the Indonesian capital market. Empirically, high investor sentiment can lead to mispricing on equity appraisal. When investors feel excessively optimistic about their valuation, equity will be overpriced, or vice versa. The presence of Islamic values, such as the prohibition of interest, speculative and uncertain transactions, and excessive leverage, arguably reduce sentiment-based mispricing. Daily and cross-sectional market data were employed. In addition, principal component analysis was conducted to construct a firm-specific investor sentiment variable. With regard to the method, the Hausman-Taylor (H-T) approach was used to deal with heterogeneity, endogeneity, and the time-invariant variable in Fama-MacBeth regression. The results show that our baseline analysis confirms the mispricing of overall stocks. However, Islamic stocks are less exposed to sentiment-based mispricing than their non-Islamic counterparts. The results are consistent with our robustness test, in which we estimate the equation model across industry and portfolio. Finally, our findings imply various insights for both investors and policymakers.

Googling Investor Sentiment around the World

2019 ◽  
Vol 55 (2) ◽  
pp. 549-580 ◽  
Author(s):  
Zhenyu Gao ◽  
Haohan Ren ◽  
Bohui Zhang
Keyword(s):  
Stock Prices ◽  
Stock Markets ◽  
Investor Sentiment ◽  
Search Behavior ◽  
Market Returns ◽  
Country Level ◽  
The World ◽  
Google Search

We study how investor sentiment affects stock prices around the world. Relying on households’ Google search behavior, we construct a weekly measure of sentiment for 38 countries during 2004–2014. We validate the sentiment index in tests using sports outcomes and show that the sentiment measure is a contrarian predictor of country-level market returns. Furthermore, we document an important role of global sentiment in stock markets.

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