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Volume 10
Issue 4
Online publication date 2015-02-22
Title Investor sentiment, optimism and excess stock market returns. Evidence from emerging markets
Author Karolina Daszynska-Zygadlo, Aleksandra Szpulak, Adam Szyszka
Abstract
We test the existence of a contemporaneous relationship between sentiment/optimism indexes and returns at the aggregate market level in eight emerging markets, namely: Brazil, China, India, Mexico, Poland, Republic of South Africa, Russia and Turkey. We use sentiment and optimism Thomson Reuters MarketPsych Indexes that are based on scanning media coverage for relevant text reflecting particular moods and opinions. We find that there is a positive relationship between investor sentiment index / investor optimism index and the excess stock market returns in Brazil and China, respectively. We also notice that excess returns are more sensitive to changes in investors moods during periods of negative sentiment/optimism index values in four out of eight researched markets, namely: Brazil, China, India and Mexico. Additionally, this relationship we find positive.

Citation
References

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Keywords Media coverage, sentiment, noise, excess stock returns
DOI http://dx.doi.org/10.15208/beh.2014.27
Pages 362-373
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