Investor Sentiment, Optimism and Excess Stock Market Returns : Evidence from Emerging Markets

• Autorzy: Karolina Daszyńska-Żygadło , Aleksandra Szpulak , Adam Szyszka
• Języki publikacji: EN

Abstrakty

EN

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.(original abstract)

Słowa kluczowe

EN

Media; Emerging markets; Economic Sentiment Index; Rate of return

PL

Media; Rynki wschodzące; Indeks nastrojów gospodarczych; Stopa zwrotu

• Czasopismo: Business and Economic Horizons
• Rocznik: 2014
• Numer: vol. 10, iss. 4
• Strony: 362--373

Twórcy

autor

Karolina Daszyńska-Żygadło

• Wrocław University of Economics, Poland

autor

Aleksandra Szpulak

• Wrocław University of Economics, Poland

autor

Adam Szyszka

• Warsaw School of Economics, Poland

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Identyfikatory

DOI

10.15208/beh.2014.27