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

Karolina Daszynska-Zygadlo, Aleksandra Szpulak and Adam Szyszka

Business and Economic Horizons (BEH), 2015, vol. 10, issue 4, 362-373

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: Media coverage; sentiment; noise; excess stock returns (search for similar items in EconPapers)
JEL-codes: G02 G14 G15 (search for similar items in EconPapers)
Date: 2015
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://academicpublishingplatforms.com/downloads/ ... k_market_362-372.pdf (application/pdf)
http://academicpublishingplatforms.com/article.php ... mber=16&article=2080 (text/html)

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:pdc:jrnbeh:v:10:y:2015:i:4:p:362-373

Access Statistics for this article

Business and Economic Horizons (BEH) is currently edited by Orifjan Namozov, Ph.D.

More articles in Business and Economic Horizons (BEH) from Prague Development Center Contact information at EDIRC.
Bibliographic data for series maintained by Jaroslav Holecek ( this e-mail address is bad, please contact ).