The Effect Of Investor Sentiment On Stock Returns: Insight From Emerging Asian Markets

The Effect Of Investor Sentiment On Stock Returns: Insight From Emerging Asian Markets

This paper investigates the link between investor sentiment and stock returns in emerging Asian markets. Two dimensions of sentiment are examined: stock specific sentiment and market wide sentiment. Using panel regression with firm fixed effects, we show that stock specific sentime...

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Main Authors: V. Anusakumar, Shangkari, Ali, Ruhani, Hooy , Chee Wooi
Format: Article
Language:English
Published: Asian Academy of Management (AAM) 2017
Subjects:
HD28-70 Management. Industrial Management
Online Access:http://eprints.usm.my/37210/
http://eprints.usm.my/37210/1/aamjaf13012017_7.pdf
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author V. Anusakumar, Shangkari
Ali, Ruhani
Hooy , Chee Wooi
author_facet V. Anusakumar, Shangkari
Ali, Ruhani
Hooy , Chee Wooi
author_sort V. Anusakumar, Shangkari
building USM Institutional Repository
collection Online Access
description This paper investigates the link between investor sentiment and stock returns in emerging Asian markets. Two dimensions of sentiment are examined: stock specific sentiment and market wide sentiment. Using panel regression with firm fixed effects, we show that stock specific sentiment strongly and positively affects stock returns after controlling for firm characteristics. Overall, there is a positive relationship between market wide sentiment and returns but the relationship does not hold at the country level. For individual countries, we detect substantial country-to-country variations in the influence of market wide sentiment on returns. The evidence also suggests that stock specific sentiment may have a greater influence on returns than market specific sentiment. Furthermore, the effect of investor sentiment on stock returns in emerging Asian markets generally persists after accounting for macroeconomic factors.
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institution Universiti Sains Malaysia
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language English
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publishDate 2017
publisher Asian Academy of Management (AAM)
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spelling usm-372102017-10-20T00:43:32Z http://eprints.usm.my/37210/ The Effect Of Investor Sentiment On Stock Returns: Insight From Emerging Asian Markets V. Anusakumar, Shangkari Ali, Ruhani Hooy , Chee Wooi HD28-70 Management. Industrial Management This paper investigates the link between investor sentiment and stock returns in emerging Asian markets. Two dimensions of sentiment are examined: stock specific sentiment and market wide sentiment. Using panel regression with firm fixed effects, we show that stock specific sentiment strongly and positively affects stock returns after controlling for firm characteristics. Overall, there is a positive relationship between market wide sentiment and returns but the relationship does not hold at the country level. For individual countries, we detect substantial country-to-country variations in the influence of market wide sentiment on returns. The evidence also suggests that stock specific sentiment may have a greater influence on returns than market specific sentiment. Furthermore, the effect of investor sentiment on stock returns in emerging Asian markets generally persists after accounting for macroeconomic factors. Asian Academy of Management (AAM) 2017 Article PeerReviewed application/pdf en http://eprints.usm.my/37210/1/aamjaf13012017_7.pdf V. Anusakumar, Shangkari and Ali, Ruhani and Hooy , Chee Wooi (2017) The Effect Of Investor Sentiment On Stock Returns: Insight From Emerging Asian Markets. Asian Academy of Management Journal of Accounting and Finance, 13 (1). pp. 1-20. ISSN 1823-4992 http://web.usm.my/journal/aamjaf/aamjaf13012017/aamjaf13012017_7.pdf
spellingShingle HD28-70 Management. Industrial Management
V. Anusakumar, Shangkari
Ali, Ruhani
Hooy , Chee Wooi
The Effect Of Investor Sentiment On Stock Returns: Insight From Emerging Asian Markets
title The Effect Of Investor Sentiment On Stock Returns: Insight From Emerging Asian Markets
title_full The Effect Of Investor Sentiment On Stock Returns: Insight From Emerging Asian Markets
title_fullStr The Effect Of Investor Sentiment On Stock Returns: Insight From Emerging Asian Markets
title_full_unstemmed The Effect Of Investor Sentiment On Stock Returns: Insight From Emerging Asian Markets
title_short The Effect Of Investor Sentiment On Stock Returns: Insight From Emerging Asian Markets
title_sort effect of investor sentiment on stock returns: insight from emerging asian markets
topic HD28-70 Management. Industrial Management
url http://eprints.usm.my/37210/
http://eprints.usm.my/37210/
http://eprints.usm.my/37210/1/aamjaf13012017_7.pdf

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