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Investor sentiment and stock returns: Global evidence

Wang, Wenzhao; Su, Chen; Duxbury, Darren


Chen Su

Darren Duxbury


We assess the impact of investor sentiment on future stock returns in 50 global stock markets. Using the consumer confidence index (CCI) as the sentiment proxy, we document a negative relationship between investor sentiment and future stock returns at the global level. While the separation between developed and emerging markets does not disrupt the negative pattern, investor sentiment has a more instant impact in emerging markets, but a more enduring impact in developed markets. Individual stock markets reveal heterogeneity in the sentiment-return relationship. This heterogeneity can be explained by cross-market differences in culture and institutions, along with intelligence and education, to varying degrees influenced by the extent of individual investor market participation.

Journal Article Type Article
Acceptance Date Jul 13, 2021
Online Publication Date Jul 19, 2021
Publication Date 2021-09
Deposit Date Mar 9, 2022
Journal Journal of Empirical Finance
Print ISSN 0927-5398
Publisher Elsevier
Peer Reviewed Peer Reviewed
Volume 63
Pages 365-391
Keywords Consumer confidence index (CCI), Culture, Education, Global, Intelligence, Investor sentiment
Public URL