Measurement of Investor Sentiment and Its Bi-Directional Contemporaneous and Lead–Lag Relationship with Returns: Evidence from Pakistan

Measurement of Investor Sentiment and Its Bi-Directional Contemporaneous and Lead–Lag Relationship with Returns: Evidence from Pakistan

The present study examines bi-directional contemporaneous and lead–lag relationships between investor sentiment and market returns in the emerging market of Pakistan over the period of 2006 to 2016. To measure investor sentiment, the study employs a direct proxy namely Google search volume...

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Bibliographic Details
Main Authors: Mehwish Aziz Khan, Eatzaz Ahmad
Format: Article
Language:English
Published: MDPI AG 2018-12-01
Series:Sustainability
Subjects:
sentiment
returns
GSVI
VAR
Geweke measure
Online Access:http://www.mdpi.com/2071-1050/11/1/94

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