Does investor sentiment predict Mexican equity returns?

Liston-Perez, Daniel; Torres-Palacio, Patricio; Bayram, Sidika Gulfem

doi:10.1108/ijmf-05-2017-0088

Cited by 9 publications

(8 citation statements)

References 83 publications

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“…In addition, they document that Mexican stock returns are influenced more by the US monetary innovations during economic downturns than during expansions. Liston-Perez et al (2018) suggest a positive dynamic relationship between the Mexican stock market sentiment and its returns. Their results also indicate that the spillover of the US sentiment affects Mexican stock market returns.…”

Section: Literature Review: Spillover Effects Of Sentimentmentioning

confidence: 95%

Spillover of Sentiments Between the GCC Stock Markets

Chowdhury

2020

Global Business Review

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This study examines how stock market sentiment in a Gulf Cooperation Council (GCC) stock market may spill over to affect sentiments in other markets in the region. Findings from dynamic conditional correlation models in a generalized autoregressive conditional heteroscedasticity (GARCH) framework, traditional Granger causality test and impulse response functions suggest that Kuwait and Qatar stock markets are segregated from other markets in the region. Saudi Arabia and the United Arab Emirates (UAE) markets are well integrated, and any shift in sentiment in either of the two affects the other. Bahrain and Oman are somewhat integrated with the UAE and Saudi stock market sentiments. Thus, when an investor has significant investments in both Saudi Arabia and the UAE, he must be aware of any contagion effect—especially in the case of a stock market panic.

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Section: Literature Review: Spillover Effects Of Sentimentmentioning

confidence: 95%

Spillover of Sentiments Between the GCC Stock Markets

Chowdhury

2020

Global Business Review

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“…Beugelsdijk and Frijns (2010), and Anderson et al (2011) show that culture affects foreign asset allocation of individual as well as institutional investors, respectively. Focusing on Mexico, Liston-Perez et al (2018) find that investor sentiment can predict Mexican equity return, up to 24 months.…”

Section: Literature Review and Hypotheses Developmentmentioning

confidence: 95%

Individualism, synchronized stock price movements, and stock market volatility

Zhan

2019

IJMF

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Purpose The purpose of this paper is to examine the impact of national culture on herding behavior across international financial markets. Design/methodology/approach The relation between national culture and investor behavior, and how it impacts overall market volatility is studied by examining synchronized stock price movements and stock market volatility in 47 countries around the world over the period of January 2003–May 2012. Findings The author finds that nations with lower values of individualistic culture are more likely to have a higher number of synchronized stock price movements. Further, the correlation between stock price movements apparently increases stock market volatility. Nations with high individualistic culture have a lower number of synchronized stock price movements and, thus, have lower levels of stock market volatility. The positive relationship between synchronized stock price movements and stock market volatility is stronger for emerging markets during the financial crisis from June 2007 to December 2008. Originality/value The empirical results in this paper indicate that a portion of the difference in market level volatility is attributed to the investor bias of different cultures. Investor behavior bias creates excess volatility that drives stock prices away from fundamentals. This impact is strong in nations with lower individualistic culture. The result from this research could also have a wide implication in the investment industry.

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“…The presence of mispricing in stock valuation can be detected from the relationship between investor sentiment and stock prices (Mendel & Shleifer, 2012;Stambaugh & Yuan, 2017). Some recent studies have investigated the monthly sentimentreturn relation (Ahmed, 2020;Cagli et al, 2020;French & Li, 2017;Huang et al, 2015;Liston-Perez et al, 2018;Miwa, 2016;Yao & Li, 2020), while others use higher time-frequency data (weekly or daily) to examine the relationship (Dai & Yang, 2018;Khan et al, 2019;Ryu et al, 2017;Seok et al, 2019a).…”

Section: Model Developmentmentioning

confidence: 99%

“…However, whether Islamic stocks are immune to sentiment-based mispricing is still a matter of academic debate. On one hand, both Islamic or conventional stocks are exposed to sentiment (Aloui et al, 2016;Liston-Perez et al, 2018;Perez-Liston et al, 2016). On the other hand, Islamic stocks are hedged against sentiment (Dash & Maitra, 2018).…”

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confidence: 99%

Are Islamic Stocks Less Exposed to Sentiment-Based Mispricing Than Non-Islamic Ones? Evidence From the Indonesian Stock Exchange

Hashfi

Naufa

Munawaroh

2021

JIMF

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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.

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Does investor sentiment predict Mexican equity returns?

Cited by 9 publications

References 83 publications

Spillover of Sentiments Between the GCC Stock Markets

Spillover of Sentiments Between the GCC Stock Markets

Individualism, synchronized stock price movements, and stock market volatility

Are Islamic Stocks Less Exposed to Sentiment-Based Mispricing Than Non-Islamic Ones? Evidence From the Indonesian Stock Exchange

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