Investor sentiment, optimism and excess stock market returns. Evidence from emerging markets

We test the existence of a contemporaneous relationship between sentiment/optimism indexes and returns at the aggregate market level in eight emerging markets, namely: Brazil, China, India, Mexico, Poland, Republic of South Africa, Russia and Turkey. We use sentiment and optimism Thomson Reuters MarketPsych Indexes that are based on scanning media coverage for relevant text reflecting particular moods and opinions. We find that there is a positive relationship between investor sentiment index / investor optimism index and the excess stock market returns in Brazil and China, respectively. We also notice that excess returns are more sensitive to changes in investors moods during periods of negative sentiment/optimism index values in four out of eight researched markets, namely: Brazil, China, India and Mexico. Additionally, this relationship we find positive.


Issue Date:
2014
Publication Type:
Journal Article
DOI and Other Identifiers:
Record Identifier:
https://ageconsearch.umn.edu/record/246045
PURL Identifier:
http://purl.umn.edu/246045
Published in:
Business and Economic Horizons (BEH), 10, 4
Business and Economic Horizons (BEH)
Page range:
362-373
Total Pages:
12
JEL Codes:
G02; G14; G15




 Record created 2017-04-01, last modified 2019-08-30

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