Swings in sentiment and stock returns: Evidence from a frontier market
We investigate the impact of noise trader sentiment on the formation of expected returns and volatility in the context of the frontier stock market of Bangladesh. Empirical results based on a GARCH-in-mean framework show that shifts in investor sentiment are significantly positively correlated with...
| Main Authors: | , , |
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| Format: | Journal Article |
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IACSIT Press
2013
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| Online Access: | http://hdl.handle.net/20.500.11937/47804 |
| _version_ | 1848757935018082304 |
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| author | Rahman, M. Shien, L. Sadique, Shibley |
| author_facet | Rahman, M. Shien, L. Sadique, Shibley |
| author_sort | Rahman, M. |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | We investigate the impact of noise trader sentiment on the formation of expected returns and volatility in the context of the frontier stock market of Bangladesh. Empirical results based on a GARCH-in-mean framework show that shifts in investor sentiment are significantly positively correlated with excess market returns. Evidence of this direct impact of changes in sentiment on expected returns is robust across sample periods and alternative measures of sentiment we use in the analysis. In addition, we find that the magnitude of bullish or bearish sentiment changes also exerts an indirect effect on expected returns through its asymmetric influence on the conditional volatility process. Overall, our results suggest that shifts in investor sentiment in the market represent a systematic risk factor that is priced in equilibrium. |
| first_indexed | 2025-11-14T09:35:59Z |
| format | Journal Article |
| id | curtin-20.500.11937-47804 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T09:35:59Z |
| publishDate | 2013 |
| publisher | IACSIT Press |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-478042017-09-13T14:19:01Z Swings in sentiment and stock returns: Evidence from a frontier market Rahman, M. Shien, L. Sadique, Shibley volatility excess returns investor sentiment We investigate the impact of noise trader sentiment on the formation of expected returns and volatility in the context of the frontier stock market of Bangladesh. Empirical results based on a GARCH-in-mean framework show that shifts in investor sentiment are significantly positively correlated with excess market returns. Evidence of this direct impact of changes in sentiment on expected returns is robust across sample periods and alternative measures of sentiment we use in the analysis. In addition, we find that the magnitude of bullish or bearish sentiment changes also exerts an indirect effect on expected returns through its asymmetric influence on the conditional volatility process. Overall, our results suggest that shifts in investor sentiment in the market represent a systematic risk factor that is priced in equilibrium. 2013 Journal Article http://hdl.handle.net/20.500.11937/47804 10.7763/IJTEF.2013.V4.315 IACSIT Press restricted |
| spellingShingle | volatility excess returns investor sentiment Rahman, M. Shien, L. Sadique, Shibley Swings in sentiment and stock returns: Evidence from a frontier market |
| title | Swings in sentiment and stock returns: Evidence from a frontier market |
| title_full | Swings in sentiment and stock returns: Evidence from a frontier market |
| title_fullStr | Swings in sentiment and stock returns: Evidence from a frontier market |
| title_full_unstemmed | Swings in sentiment and stock returns: Evidence from a frontier market |
| title_short | Swings in sentiment and stock returns: Evidence from a frontier market |
| title_sort | swings in sentiment and stock returns: evidence from a frontier market |
| topic | volatility excess returns investor sentiment |
| url | http://hdl.handle.net/20.500.11937/47804 |