Swings in sentiment and stock returns: Evidence from a frontier market

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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...

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Bibliographic Details
Main Authors:	Rahman, M., Shien, L., Sadique, Shibley
Format:	Journal Article
Published:	IACSIT Press 2013
Subjects:	volatility excess returns investor sentiment
Online Access:	http://hdl.handle.net/20.500.11937/47804

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