Does sentiment matter for stock returns? Evidence from Indian stock market using wavelet approach

Saumya Ranjan Dash and Debasish Maitra

Finance Research Letters, 2018, vol. 26, issue C, 32-39

Abstract: This article examines the relationship between investor sentiment and stock returns using the data from Indian stock market. We investigate the relationship using a broad set of implicit sentiment proxies and value-weighted market indices. The wavelet method has been used to decompose sentiment variables and stock returns into different timescale frequencies. We find a strong effect of sentiment on return both in the short-and long-run by employing decomposed returns and sentiment proxies at different time-scale frequencies, The study lends support to the fact that whether investors are short-term or long-term traders, their investments activities cannot be delinked from sentiment.

Keywords: Sentiment; Stock returns; Emerging market; Wavelet analysis (search for similar items in EconPapers)
JEL-codes: C22 C32 G10 G12 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (19)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:26:y:2018:i:c:p:32-39

DOI: 10.1016/j.frl.2017.11.008

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