| Titre : | Does investor sentiment and stock return affect each other : (S)VAR model approach (2011) |
| Auteurs : | Qiang Zhang, Auteur ; Mingmao Deng, Auteur ; Shue Yang, Auteur |
| Type de document : | Article : texte imprimé |
| Dans : | International journal of management science and engineering management (Vol. 5 N° 5, Octobre 2010) |
| Article en page(s) : | pp.334-340 |
| Note générale : | Management |
| Langues : | Anglais |
| Tags : | Behavioral finance Investor's sentiment Stock returns (s) VAR model. |
| Résumé : | According to behavioral finance theory, investors' irrational behavior and psychology are crucial factors that influence stock prices on limited arbitrage stock market. Relevant attempts have been made to examine the impact of investors' sentiment on stock prices. But most studies focus on the predictability of investors' sentiment which is measured by direct or indirect index. And no results answer whether investors' sentiment is irrational. Nor do they tell how investors' sentiment influences the stock prices. This paper examines the multi-relationship between investors' sentiment, which is measured by the growth rate of investor accounts, and stock returns by the (S)VAR model. The results show that investors' sentiment is influenced by the previous performance of the stock market, which verifies the irrationality of investors' sentiment. The results also show that investor's sentiment has important influence on the contemporaneous and future stock returns. |
| DEWEY : | 658 |
| ISSN : | 1750-9653 |
| En ligne : | http://www.ijmsem.org/OnlineJournal.do/?150.html |
