When stock return synchronicity meets investor sentiment

Xiao Li and Yao Xing

Finance Research Letters, 2023, vol. 53, issue C

Abstract: We examine the sentiment-synchronicity relationship in the Chinese stock market and find that investor sentiment has a significantly positive impact on the stock return synchronicity. Besides, the effect is more pronounced for young, small, volatile, and low-priced stocks. These findings are robust to alternative model specifications, an alternative sentiment proxy, and subperiod analysis.

Keywords: Investor sentiment; Stock return synchronicity; Asymmetric effect; Firm characteristics (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:53:y:2023:i:c:s1544612323000296

DOI: 10.1016/j.frl.2023.103655

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