Expose the Hidden: Investor Sentiment and Anomaly Strategies in Emerging Market

Muhammad Ateeq ur Rehman (), Masood Ahmad (), Furman Ali () and Habib Ahmad ()
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Muhammad Ateeq ur Rehman: School of Business and Economics, Westminster International University in Tashkent, Tashkent, Uzbekistan.
Masood Ahmad: Minhaj University Lahore, Lahore, Pakistan.
Furman Ali: School of Finance, Southwestern University of Finance and Economics, Chengdu, China.
Habib Ahmad: Air University School of Management, Air University, PAF Complex E-9 Islamabad, Pakistan.

Journal for Economic Forecasting, 2024, issue 4, 63-81

Abstract: Using anomaly techniques, this study examines the crucial role that sentiment in the market, news, and social media plays in forecasting stock returns. We used a simple regression model on a sample of public non-financial Pakistani stocks from 2009 to 2019. Our results show that, under anomalous strategies, the emerging companies are significantly impacted by sentiment in the market, news, and social media. Our results are in line with earlier research and refute a popular belief that has been contested in other studies, such as the notion that investor sentiment is less significant in emerging economies.

Keywords: Investor sentiment; Stock return; Anomaly strategy (search for similar items in EconPapers)
JEL-codes: G10 G14 G4 (search for similar items in EconPapers)
Date: 2024
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