Impact of Investor Sentiment on Contemporaneous and Future Equity Returns in Emerging Markets

Rameeza Andleeb and Arshad Hassan

SAGE Open, 2023, vol. 13, issue 3, 21582440231193568

Abstract: The study is aimed to investigate the impact of investor sentiment on returns of selected emerging equity markets i.e., Brazil, India, China, Russia, Indonesia, and Pakistan using non-linear predictive regression analysis. Principal Component Analysis is used to generate investor sentiment index. Investor sentiment has a significant impact on current market returns and this influence is continued in the short run in most of the sample countries. However, the impact of sentiment is not much pronounced in the longer run. Therefore, decision-makers cannot ignore sentiments in at least the short run. The findings of this study may be helpful for investors to better understand the market trends under the influence of sentiments and portfolio managers and risk professionals can devise their strategies accordingly. JEL: G02, G15, G24, M41

Keywords: investor sentiment; emerging stock markets; stock characteristics; contagion (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://journals.sagepub.com/doi/10.1177/21582440231193568 (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:sae:sagope:v:13:y:2023:i:3:p:21582440231193568

DOI: 10.1177/21582440231193568

Access Statistics for this article

More articles in SAGE Open
Bibliographic data for series maintained by SAGE Publications ().