Impact of financial development on sentiment-return relationship: Insight from Asia-Pacific markets
Yoshihisa Suzuki (Elsevier, 2020)
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Using investor sentiment created from the first principal component of consumer confidence index, advance/decline ratio, and volatility premium, the paper examines its connection with future stock returns in six Asia-Pacific markets during the period from January 2004 to December 2016. The empirical results suggest that market sentiment can be a valid predictor of stock returns in short-term horizons. Additionally, by decomposing total sentiment in each market into regional and local indices, we find that the market-level results are driven mostly by local sentiment. More importantly, this study detects that the differences in financial development across markets have a significant influence on the sentiment-return relationship. |
No. Panggil : | 658.15 BIR 20:2 (2020) |
Entri utama-Nama orang : | |
Subjek : | |
Penerbitan : | Amsterdam: Elsevier, 2020 |
Sumber Pengatalogan : | LibUI eng rda |
ISSN : | 22148450 |
Majalah/Jurnal : | Borsa Istanbul Review |
Volume : | Vol. 20, No. 2, June 2020: Hal. 95-107 |
Tipe Konten : | text |
Tipe Media : | unmediated |
Tipe Carrier : | volume |
Akses Elektronik : | |
Institusi Pemilik : | Universitas Indonesia |
Lokasi : | Perpustakaan UI, Lantai 4 R. Koleksi Jurnal |
No. Panggil | No. Barkod | Ketersediaan |
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658.15 BIR 20:2 (2020) | 08-24-33927435 | TERSEDIA |
Ulasan: |
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