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

• Authors: Karolina Daszynska-Zygadlo , Aleksandra Szpulak , Adam Szyszka
• 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.

Keywords

EN

Media coverage, sentiment, noise, excess stock returns

• Publisher: Prague Development Center, Czech Republic
• Journal: Business and Economic Horizons
• Year: 2014
• Volume: 10
• Issue: 4
• Pages: 362-373

Dates

published

2014-12-10

Contributors

author

Karolina Daszynska-Zygadlo

author

Aleksandra Szpulak

author

Adam Szyszka

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Identifiers

DOI

http://dx.doi.org/10.15208/beh.2014.27