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

Karolina Daszyńska-Żygadło, Aleksandra Szpulak and Adam Szyszka

Business and Economic Horizons (BEH), 2014, vol. 10, issue 4, 12

Abstract: 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: Institutional and Behavioral Economics; Public Economics (search for similar items in EconPapers)
Date: 2014
References: Add references at CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
https://ageconsearch.umn.edu/record/246045/files/2 ... k_market_362-373.pdf (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:ags:pdcbeh:246045

DOI: 10.22004/ag.econ.246045

Access Statistics for this article

More articles in Business and Economic Horizons (BEH) from Prague Development Center (PRADEC) Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().