Asymmetric Relationship between Investors' Sentiment and Stock Returns: Evidence from a Quantile Non‐causality Test

Li, Haiqi; Guo, Yu; Park, Sung Y.

doi:10.1111/irfi.12120

Cited by 35 publications

(21 citation statements)

References 35 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…In this sense, Kim and Kim (2014) confirmed stock price performance's positive influence on investor sentiment, and Piñeiro-Chousa et al (2016) showed that Tobin's Q, P/E ratio and capitalisation are related to increases in microblogging investor sentiment. Therefore, these results suggest the existence of a causal relationship between investor sentiment and stock market activity (Li, Guo & Park, 2017).…”

Section: Literature Reviewmentioning

confidence: 64%

Investor sentiment in the theoretical field of behavioural finance

López‐Cabarcos

Pérez-Pico

Vázquez-Rodríguez

et al. 2019

Economic Research-Ekonomska Istraživanja

View full text Add to dashboard Cite

Investor sentiment is a research area in the theoretical field of behavioural finance that analyses the sentiment of investors and the way it influences stock market activity. Recently, there has been an increase in the number of publications in this area, which indicates its incremental relevance. To date, there is no consensus on the theoretical structure of behavioural finance nor on the investor sentiment research area. We have used co-citation, bibliographic coupling and co-occurrence analysis to provide an overview of the structure of investor sentiment. Therefore, this study contributes to defining the theoretical structure of investor sentiment by identifying the foundations of the research area and main journals, references, authors, or keywords, which represent the core of knowledge of this research area. The results obtained suggest that investor sentiment is related to efficient market theory and behavioural finance theories. Furthermore, investor sentiment is a relevant research field, especially since 2014. Advances in computer science or theories based on physics or mathematics can help to better define the influence of investor sentiment on stock markets. This study advances research on investor sentiment within the field of behavioural finance, thus showing its relevance.

show abstract

Section: Literature Reviewmentioning

confidence: 64%

Investor sentiment in the theoretical field of behavioural finance

López‐Cabarcos

Pérez-Pico

Vázquez-Rodríguez

et al. 2019

Economic Research-Ekonomska Istraživanja

View full text Add to dashboard Cite

show abstract

“…Ni et al (2015) used panel quantile regression and found that influence of investor sentiment on stock returns is asymmetric. Li et al (2017) applied Quantile Causality test and suggested that the predictability of sentiment is more marked under extreme market situations. Ma et al (2018) applied quantile regression and found that sentiment predicts stock return only at lower quantiles and not at higher quantiles…”

Section: Literature Reviewmentioning

confidence: 99%

Asymmetric relationship of investor sentiment with stock return and volatility: evidence from India

Chakraborty

Subramaniam

2020

RBF

View full text Add to dashboard Cite

PurposeThe study examines the cross-sectional and asymmetric relationship of investor sentiment with the stock returns and volatility in India.Design/methodology/approachThe investor sentiment is captured using a market-based measure Market Mood Index (MMI) and a survey-based measure Consumer Sentiment Index (CSI). The asymmetric effect of the relationship is examined using quantile causality approach and cross-sectional effect is examined by considering indices such as the BSE Sensex, and the various size indices such as BSE Large cap, BSE Mid cap and BSE Small cap.FindingsThe result of the study found that investor sentiment (MMI) cause stock returns at extreme quantiles. Lower sentiment induces fear-induced selling, thereby lowers the returns and high sentiment is followed by lower future returns as market reverts to fundamentals. On the other hand, bullish shifts in sentiment lower the volatility. There exists a positive feedback effect of stock return and volatility in the formation of investor sentiment.Originality/valueThe study captures both asymmetric and cross-sectional relationship of investor sentiment and stock market in an emerging economy, India. The study uses a novel data set (i.e.) MMI which captures the sentiment based on market indicators and are widely disseminated to the public.

show abstract

“…The index has proven to be one of the most influential variables in consumption decisions and in the economic situation (Bock Eastman, & McKay, 2014;Sorić, 2018). Consumer confidence is influenced by their personal finances and the economic environment, macroeconomic conditions and the business situation (Ferrer et al 2016;Salhin, Sherif, & Jones, 2016;Li, Guo, & Park, 2017).…”

Section: Consumer Confidence Indexmentioning

confidence: 99%

“…From the logit model, the pandemic situation is significantly influencing the changes in investor confidence in the Islamic financial market. Consumer confidence is influenced by their personal finances, economic environment, macroeconomic condition and business situation (Ferrer et al, 2016;Salhin et al, 2016;Li et al, 2017).…”

Section: Probit Logit Model Robustness Standard Errormentioning

confidence: 99%

How Has the Covid-19 Pandemic Affected the Real and Monetary Sectors in Indonesia?

Yunita

2021

JIMF

View full text Add to dashboard Cite

This study aims to find empirical evidence for the effects of the Covid-19 pandemic on the Indonesia real and monetary sectors. The real sector condition is represented by fluctuations in the farmer exchange rate in ten provinces; this rate has direct and indirect effects on farmers’ welfare. On the other hand, the condition of the monetary sector is illustrated by shifts in the consumer confidence index due to fluctuations in Islamic and conventional financial system indicators. We used a panel regression model to examine the farmer exchange rate and a binary logistic regression model to examine the consumer confidence index. The results statistically demonstrate that the pandemic conditions have affected both the real sector and the consumer confidence index of the Islamic financial sector. However, the pandemic has not affected the consumer confidence index of the conventional financial sector. This phenomenon exists because of the speculative action from conventional investors in taking risks and opportunities, which are forbidden in the Islamic context. The indicator which shifts the conventional consumer confidence index is the composite stock index (IHSG), while the Islamic consumer confidence index is shifted by changes in the Islamic money market rate, the Jakarta Islamic index and the Islamic banking capital ratio. Our empirical findings conclude that, in such a critical situation, the behaviour of conventional and Islamic consumers is totally different, thus influencing consumer confidence in each sector.

show abstract

Asymmetric Relationship between Investors' Sentiment and Stock Returns: Evidence from a Quantile Non‐causality Test

Cited by 35 publications

References 35 publications

Investor sentiment in the theoretical field of behavioural finance

Investor sentiment in the theoretical field of behavioural finance

Asymmetric relationship of investor sentiment with stock return and volatility: evidence from India

How Has the Covid-19 Pandemic Affected the Real and Monetary Sectors in Indonesia?

Contact Info

Product

Resources

About