 The impact of investor sentiments on stock returns and volatility: do economic forces and herding behaviour matter?Sana Masood, Umar Farooq, Mosab I. Tabash and Suhaib Anagreh International Journal of Economics and Business Research, 2025, vol. 29, issue 1, 94-112 Abstract: This study examines the relationship between investor sentiments, stock returns and stock volatility. Herding behaviour and macroeconomic forces are also used as explanatory variables in this study. Stock returns and stock volatility are used as dependent variables. The main objective of this research is to examine the impact of investor sentiments, macroeconomic forces, and herding behaviour on stock returns and stock volatility. The data of the non-financial sector of Pakistan has been collected from 2010 to 2019. Panel quantile regression has been used for determining the relationship among dependent and independent variables of the study. Different quantiles, i.e., 0.25, 0.50 and 0.75 are used for desired results. Results of this study suggest that investor sentiments affect stock returns and stock volatility at different quantiles. Macroeconomic forces also affect stock returns and volatility at different quantiles. This research will aid managers, and policymakers in future investments. Keywords: investor sentiments; macroeconomic forces; stock volatility; stock returns and herding. (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:ids:ijecbr:v:29:y:2025:i:1:p:94-112 Access Statistics for this article More articles in International Journal of Economics and Business Research from Inderscience Enterprises Ltd |
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