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

Bibliographic Data

ID16915757
AuthorsRameeza Andleeb (0000-0001-7482-1950, Capital University of Science and Technology, corresponding author), Arshad Hassan (0000-0001-7898-436X, Capital University of Science and Technology)
Year2023
Volume13
Issue3
Publication date2023-07-01
Peer ReviewedYes
Open AccessYes
TypeARTICLE
VenueSAGE Open (JOURNAL)
Journal identifiersISSN: 2158-2440 • E-ISSN: 2158-2440
PublisherSAGE Publications (PUBLISHER • US)
DOI10.1177/21582440231193568
OpenAlexW4386248689
LanguageEN
Citations received1
References cited45

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

Business · China · Economics · Emerging markets · Excess return · Financial economics · Monetary economics · Political science · Portfolio · Financial Markets and Investment Strategies · Market Dynamics and Volatility · Stock Market Forecasting Methods · Finance

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Open DOIOpen Access