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Lookup NU author(s): Dr Chen SuORCiD, Professor Darren DuxburyORCiD
This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License (CC BY-NC-ND).
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.
Author(s): Wang W, Su C, Duxbury D
Publication type: Article
Publication status: Published
Journal: Journal of Empirical Finance
Year: 2021
Volume: 63
Pages: 365-391
Print publication date: 01/09/2021
Online publication date: 19/07/2021
Acceptance date: 13/07/2021
Date deposited: 08/06/2021
ISSN (print): 0927-5398
Publisher: Elsevier
URL: https://doi.org/10.1016/j.jempfin.2021.07.010
DOI: 10.1016/j.jempfin.2021.07.010
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