Market Sentiment Indicators and Stock Returns

• Main Authors: Pei-Yuan Hung, 洪培元
• Other Authors: none
• Format: Others
• Language: zh-TW
• Published: 2004
• Online Access: http://ndltd.ncl.edu.tw/handle/82448416462431683666

碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 92 === Market sentiment of investors becomes Behavior Finance desire to study a new issue at near year. However, for the most related literature of market sentiment study that market sentiment will influence stock returns and doesn’t include analysis of bullish and bearish .In this paper, we apply VAR model (Vector Auto regression model) to investigate the connection between market sentiment indicators and stock returns, included the Variance Decomposition and Impulse Response Function of bullish and bearish. We can find the connection between market sentiment indicators and stock returns between bullish and bearish. Our empirical result show：（1）the market sentiment disappear on influence of stock returns, however ,it remains significant that stock returns will influence the various market sentiment variables（2）analysis of bullish and bearish about the connection between market sentiment indicators and stock returns has no difference. It was found that investor market sentiment is influenced with stock returns on bullish market is more significant than bearish market.