Investor sentiment, trading behavior and stock returns

Ryu, Doojin; Kim, Hyeyoen; Yang, Heejin

doi:10.1080/13504851.2016.1231890

Cited by 95 publications

(54 citation statements)

References 25 publications

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“…On the other hand, annual returns in Chinese stock market appear to be highly susceptible to sentiment at the stock level. The findings for South Korea corroborate those of Ryu, Kim and Yang (2016) wherein stock level sentiment was found to be positively related to stock market returns.…”

Section: Does Investor Sentiment Affect Stock Returns?supporting

confidence: 80%

The Effect of Investor Sentiment on Stock Returns: Insight from Emerging Asian Markets

Anusakumar¹,

Ali²,

Hooy³

2017

AAMJAF

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Section: Does Investor Sentiment Affect Stock Returns?supporting

confidence: 80%

The Effect of Investor Sentiment on Stock Returns: Insight from Emerging Asian Markets

Anusakumar¹,

Ali²,

Hooy³

2017

AAMJAF

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“…In this section we present the conceptual framework regarding herding behavior, which allows us to develop our hypothesis. The classical asset pricing theory states that the return of an asset is influenced by changes in economic fundamentals in a rational framework (Ryu et al, 2016;Iyke and Ho, 2020). However, some recent behavioral finance research found empirical evidence that the sentiments and trading behavior of market participants in financial markets significantly influences asset returns (Baker et al, 2012;Brown and Cliff, 2004;Greenwood and Shleifer 2014;Kim et al, 2014;Iyke, 2020b).…”

Section: Conceptual Framework and Hypotheses Developmentmentioning

confidence: 99%

An Analysis of Herding Behavior in the Stock Market: A Case Study of the Asean-5 and the United States

Rahman

Ermawati

2020

BEMP

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We construct a new dataset to examine herding behavior in the ASEAN-5 (Indonesia, Singapore, Malaysia, the Philippines and Thailand) and the US stock market. Our dataset consists of daily closing prices on the most liquid stock indices in the ASEAN-5 and the US stock market. Based on the Newey–West estimator, we show that the dominant global factor influencing herding behavior is the US federal funds rate, while the cross-market herding of the Singaporean stock market is the dominant regional factor that influence the other ASEAN stock markets. We find that herding behavior, caused by stock market index, spikes only occur in the Philippine stock market.

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“…We document the most recent studies investigating the sentiment-return relationship. Ryu et al (2017) investigated the link between investor sentiment, trading behaviour, and equity returns in the Korean market. Investor sentiment was proxied by a composite measure consisting of the relative strength index (RSI), psychological line index (PLI), adjusted turnover rate (ATR), and the natural log of trading volume (LNV).…”

Section: Previous Studiesmentioning

confidence: 99%

“…Therefore, we aim to fill this research gap. Second, we conducted principal component analysis, as previous studies have suggested constructing a firm-specific sentiment index (Ryu et al, 2017;Seok et al, 2019a). This method is conducted at firm-level and embraces all sentiment indicators, therefore leading to precise measurements.…”

mentioning

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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Investor sentiment, trading behavior and stock returns

Cited by 95 publications

References 25 publications

The Effect of Investor Sentiment on Stock Returns: Insight from Emerging Asian Markets

The Effect of Investor Sentiment on Stock Returns: Insight from Emerging Asian Markets

An Analysis of Herding Behavior in the Stock Market: A Case Study of the Asean-5 and the United States

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

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