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Does investor sentiment and stock return affect each other / Qiang Zhang in International journal of management science and engineering management, Vol. 5 N° 5 (Octobre 2010) 

Public ISBD [article]  in International journal of management science and engineering management > Vol. 5 N° 5 (Octobre 2010) . - pp.334-340 Titre : Does investor sentiment and stock return affect each other : (S)VAR model approach Type de document : texte imprimé Auteurs : Qiang Zhang, Auteur ; Mingmao Deng, Auteur ; Shue Yang, Auteur Année de publication : 2011 Article en page(s) : pp.334-340 Note générale : Management Langues : Anglais (eng) Mots-clés : 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 [article] Does investor sentiment and stock return affect each other : (S)VAR model approach [texte imprimé] / Qiang Zhang, Auteur ; Mingmao Deng, Auteur ; Shue Yang, Auteur . - 2011 . - pp.334-340. Management Langues : Anglais (eng) in International journal of management science and engineering management > Vol. 5 N° 5 (Octobre 2010) . - pp.334-340 Mots-clés : 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