Exploring Relation between Indian Market Sentiments and Stock Market Returns

Divya Aggarwal

Asian Journal of Empirical Research, 2017, vol. 7, issue 7, 147-159

Abstract: This paper aims to understand the relation between contemporaneous stock market returns and investor sentiments in Indian context. The analysis is done for daily data over a range of five years. Market measure proxies of investor sentiments including the market mood index and the volatility index are examined to explore their nature of association with the stock market returns. The results show that changes in sentiments have a higher explanatory power than sentiments at level when determining statistically significant relation with stock market returns. While the market mood index indicating optimism is positively related with stock returns, the VIX index also referred to as the fear guard index has a negative relation with stock returns. Moreover the market mood index seems to granger cause stock market returns and exhibit a long run association with stock market returns. With presence of sentiments impacting stock market returns established, more studies in context of developing countries are needed to understand the temporal dynamics between sentiments and stock markets.

Keywords: sentiments; market mood index; VIX; stock returns; granger causality (search for similar items in EconPapers)
Date: 2017
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://archive.aessweb.com/index.php/5004/article/view/3984/6270 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:asi:ajoerj:v:7:y:2017:i:7:p:147-159:id:3984

Access Statistics for this article

More articles in Asian Journal of Empirical Research from Asian Economic and Social Society
Bibliographic data for series maintained by Robert Allen ().