Investor sentiment and stock market anomalies in Australia

Xinyue Zhang, Emawtee Bissoondoyal-Bheenick and Angel Zhong

International Review of Economics & Finance, 2023, vol. 86, issue C, 284-303

Abstract: By constructing the first Australian investor sentiment index, this study explores the role of sentiment in explaining stock market anomalies. The Australian investor sentiment index is in line with the fluctuation of global economic trends and is highly correlated with the US sentiment index. We also explore the explanatory power of investor sentiment over Australian stock market anomalies. Our findings underscore the importance of investor sentiment in Australia, whereby anomaly returns are stronger following high sentiment periods. The short legs of each strategy account for a larger proportion of anomaly returns when investor sentiment increases. Further, sentiment does not significantly influence returns on the long legs of anomalies.

Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1059056023000965
Full text for ScienceDirect subscribers only

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:eee:reveco:v:86:y:2023:i:c:p:284-303

DOI: 10.1016/j.iref.2023.03.024

Access Statistics for this article

International Review of Economics & Finance is currently edited by H. Beladi and C. Chen

More articles in International Review of Economics & Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().