Investor sentiment and stock returns: Global evidence

Wang, Wenzhao; Su, Chen; Duxbury, Darren

Abstract

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.

Citation

Wang, W., Su, C., & Duxbury, D. (2021). Investor sentiment and stock returns: Global evidence. Journal of Empirical Finance, 63, 365-391. https://doi.org/10.1016/j.jempfin.2021.07.010

• 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
• DOI: https://doi.org/10.1016/j.jempfin.2021.07.010
• Keywords: Consumer confidence index (CCI), Culture, Education, Global, Intelligence, Investor sentiment
• Public URL: http://researchrepository.napier.ac.uk/Output/2851233