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2014 | 10 | 4 | 362-373
Article title

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

Content
Title variants
Languages of publication
EN
Abstracts
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.
Year
Volume
10
Issue
4
Pages
362-373
Physical description
Dates
published
2014-12-10
Contributors
References
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Document Type
Publication order reference
YADDA identifier
bwmeta1.element.desklight-7593cfa9-4a67-4283-b892-c4e955a11e8c
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