Optimism in Financial Markets: Stock Market Returns and Investor Sentiments
Chiara Limongi Concetto () and
Francesco Ravazzolo ()
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Chiara Limongi Concetto: Free University of Bolzano‐Bozen, Faculty of Economics, Italy and Sparkasse – Cassa di Risparmio, Italy
Francesco Ravazzolo: Free University of Bolzano‐Bozen, Faculty of Economics, Italy and Centre for Applied Macro and commodity Prices, BI Norwegian Business School, Norway
No BEMPS56, BEMPS - Bozen Economics & Management Paper Series from Faculty of Economics and Management at the Free University of Bozen
This paper investigates how investor sentiment affects stock market returns and evaluates the predictability power of sentiment indices on U.S. and EU stock market returns. As regards the American example, evidence shows that investor sentiment indices have a negative influence on stock market returns. Concerning the European market instead, investigation provides weak results. Moreover, comparing the two markets, where investor sentiment of U.S. market tries to predict the European stock market returns, and vice versa, the analyses indicate a spillover effect from the U.S. to Europe.
Keywords: Dynamic Bayesian econometrics; Portfolio choice; Sentiments; Stock Market Predictability (search for similar items in EconPapers)
JEL-codes: C11 C22 G11 G12 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cfn
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