Predicting Stock Market Returns and Volatility with Investor Sentiment: Evidence from Eight Developed Countries

2012 ◽  
Author(s):  
Jerry C. Ho ◽  
Chi-Hsiou Daniel Hung
Keyword(s):  
Stock Market ◽  
Investor Sentiment ◽  
Developed Countries ◽  
Market Returns ◽  
Stock Market Returns

scholarly journals Stock Returns and The Weather Effect: the Case of Ghana

2020 ◽  
Author(s):  
Sampson Atuahene ◽  
Kong Yusheng ◽  
Geoffrey Bentum-Micah
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Exchange ◽  
Investor Sentiment ◽  
Weather Conditions ◽  
Market Returns ◽  
Stock Market Returns ◽  
Economic Significance ◽  
Weather Changes ◽  
Brokerage Firms

In every economy, Stock markets are part of the key elements the build it up. A few decades ago, there has been a significant change in Ghana stock market returns (GSE). Our study examines the statistical and economic significance of investor sentiment, based on weather conditions/changes, on stock market returns. OLS models, assisted by unit root tests were employed in analyzing the data obtained from the Ghana stock exchange platform from 2000 to 2017. From our literature review, we discovered that investors’ perceptions play a central role in finalizing the direction of stock market returns. Regarding our empirical results, we tested whether weather variations influence the investment decisions of investors; we discovered that temperature and cloud cover significantly influences stock market returns. This is because of mood changes is associated with weather conditions variations. However, sunshine per our regression coefficient shows a statistically insignificant impact on investors’ investment choices. Precipitation to a large extend influence stock market activities further affecting its results negatively as our regression results depicted. We concluded stock brokerage firms, companies, and investors (foreign/local) must incorporate weather changes/effects when strategizing about their investment outcomes.

Predicting the effect of Googling investor sentiment on Islamic stock market returns

2020 ◽  
Vol 13 (2) ◽  
pp. 165-193
Author(s):  
Yousra Trichilli ◽  
Mouna Boujelbène Abbes ◽  
Afif Masmoudi
Keyword(s):  
Stock Market ◽  
Markov Model ◽  
Financial Markets ◽  
Hidden Markov Model ◽  
Hidden Markov ◽  
Investor Sentiment ◽  
Market Returns ◽  
Stock Market Returns ◽  
Content Type ◽  
The Relationship

Purpose The purpose of this paper is to evaluate the capability of the hidden Markov model using Googling investors’ sentiments to predict the dynamics of Islamic indexes’ returns in the Middle East and North Africa (MENA) financial markets from 2004 to 2018. Design/methodology/approach The authors propose a hidden Markov model based on the transition matrix to apprehend the relationship between investor’s sentiment and Islamic index returns. The proposed model facilitates capturing the uncertainties in Islamic market indexes and the possible effects of the dynamics of Islamic market on the persistence of these regimes or States. Findings The bearish state is the most persistent sentiment with the longest duration for all the MENA Islamic markets except for Jordan, Morocco and Qatar. In addition, the obtained results indicate that the effect of sentiment on predicting the future Islamic index returns is conditional on the MENA States. Besides, the estimated mean returns for each state indicates that the bullish and calm states are ideal for investing in Islamic indexes of Bahrain, Oman, Morocco, Kuwait, Saudi Arabia and United Arab Emirates. However, only the bullish state is ideal for investing Islamic indexes of Jordan, Egypt and Qatar. Research limitations/implications This paper has used data at a monthly frequency that can explain only short-term dynamics between Googling investor’s sentiment and the MENA Islamic stock market returns. Moreover, this work can be done on the stock markets while taking into account the specificity of each activity sector. Practical implications In fact, the findings of this paper are helpful for academics, analysts and practitioners, and more specifically for the Islamic MENA financial investors. Moreover, this study provides useful insights not only into the duration of the relationship between the indexes’ returns and the investors’ sentiments in the five states but also into the transition probabilities which have implications for how investors could be guided in their choice of future investment in a portfolio with Islamic indexes. Findings of this paper are important and valuable for policy-makers and investors. Thus, predicting the effect of Googling investors’ sentiment on the MENA Islamic stock market dynamics is important for portfolio diversification by domestic and international investors. Moreover, the results of this paper gave new insights into financial analysts about the dynamic relationship between Googling investors’ sentiment and Islamic stock market returns across market regimes. Therefore, the findings of this study might be useful for investors as they help them capture the unobservable dynamics of the changes in the investors’ sentiment regimes in the MENA financial markets to make successful investment decisions. Originality/value To the best of the authors’ knowledge, this paper is the first to use the hidden Markov model to examine changes in the Islamic index return dynamics across five market sentiment states, namely the depressed sentiment (S1), the bullish sentiment (S2), the bearish sentiment (S3), the calm sentiment (S4) and the bubble sentiment (S5).

Does Investor Sentiment Predict Future Mexican Stock Market Returns?

2017 ◽  
Author(s):  
Daniel Perez-Liston ◽  
Patricio Torres-Palacio ◽  
Sidika Bayram
Keyword(s):  
Stock Market ◽  
Investor Sentiment ◽  
Market Returns ◽  
Stock Market Returns

scholarly journals The Nonlinear Relationship between Investor Sentiment, Stock Return, and Volatility

2020 ◽  
Vol 2020 ◽  
pp. 1-11
Author(s):  
Gang He ◽  
Shuzhen Zhu ◽  
Haifeng Gu
Keyword(s):  
Stock Market ◽  
Stock Return ◽  
Investor Sentiment ◽  
Chinese Stock Market ◽  
Stock Market Volatility ◽  
Market Returns ◽  
Stock Market Returns ◽  
Bear Market ◽  
Stock Market Return ◽  
Space Effect

Based on the DSSW model, we analyze the nonlinear impact mechanism of investor sentiment on stock return and volatility by adjusting its hypothesis in Chinese stock market. We examine the relationship between investor sentiment, stock return, and volatility by applying OLS regression and quantile regression. Our empirical results show that the effects of investor sentiment on stock market return are asymmetric. There is “Freedman effect” in Chinese stock market, but only optimistic sentiment has a significant nonlinear impact on stock market returns when the stock market is a balanced market or a bear market. Meanwhile, “create the space effect” does exist in Chinese stock market too. It only exists when the market is in equilibrium, and only pessimistic sentiment has the nonlinear effect on stock market volatility.

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