The unidirectional relationship between consumer confidence and PSI-20 returns - The influence of the economic cycle

Neves, Maria Elisabete Duarte; Gonçalves, Luís Miguel Aragão Duarte; Ribeiro, Mario Joaquim Silva; Feiteira, Paulo Jorge Santiago; Viseu, Clara

doi:10.1590/1808-057x201602280

Cited by 3 publications

(3 citation statements)

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“…The research closer to the aim of the present study were developed in international markets and mainly focus on the analysis of the relationship between sentiment and return on assets, mostly identifying a positive and significant relationship between these variables (Baker & Wrugler, 2006, 2007Garcia, 2013;Neves et al, 2016;Piccoli et al, 2018). However, more recently, the focus has shifted to understand the role of investor sentiment in the volatility return (Aydogan, 2017;Kumari & Mahakud, 2015;Lee et al, 2002;Smales, 2016;Schneller et al, 2018;Yu & Yuan, 2011), which is the purpose of this study.…”

Section: Previous Studies and Research Hypothesismentioning

confidence: 96%

“…According to Baker and Wurgler (2007), another factor that can contribute to the occurrence of mispricing is the limitation of rational arbitrage, especially in short-term horizons. The latter can be associated with costs and negotiation risks generated by demand pressures and the incorporation in prices of uncertain factors, captured by investor sentiment, allowing a deviation from fundamental analysis (Neves, Gonçalves, Ribeiro, Feiteira, & Viseu, 2016). Likewise, companies with characteristics associated with difficult pricing, such as a smaller size, high growth rate, and low stock liquidity, have limitations for arbitration and greater difficulty in the pricing of their assets (Baker & Wurgler, 2006, 2007Piccoli et al, 2018).…”

Section: Mispricing and Investor Sentimentmentioning

confidence: 99%

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Asymmetric Impact of Investor Sentiment on Brazilian Stock Market Volatility

Ferreira

Machado

Silva

2021

RAM, Rev. Adm. Mackenzie

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Purpose: The purpose of this study was to analyze the effect of investor sentiment on the volatility of the Brazilian stock market. Specifically, it aimed to identify if the asymmetric behavior of sentiment could be observed in emerging markets, considering companies that have characteristics that are difficult to price. Originality/value: Unlike most studies on investor sentiment, this study focuses on its impact on the stock market volatility, as well as on the characteristics of companies associated with difficult pricing. Design/methodology/approach: The volatility of the IBRX100 index was used to represent the Brazilian stock market, and as a proxy for investor sentiment it was selected Miranda's index (2018), based on market data. Data were estimated using the two-stage least squares (MQ2E) technique to address endogeneity problems. Finally, the volatility of companies with difficult-to-price characteristics was segregated to analyze their sensitivity to sentiment. Findings: The results indicate that sentiment has a negative and sig nificant relationship with the volatility of the Brazilian market, as well as evidences an asymmetrical behavior, being statistically stronger in pessimistic periods. Additional analyzes evidence that the explanatory sentiment capacity is sensitive to companies' characteristics, but only companies with a high book-to-market ratio showed asymmetric behavior, as expected by the literature. The portfolios segmented by size and illiquidity maintained an asymmetric behavior, but it was the volatility of the large companies and the less illiquid ones that were best explained by sentiment, indicating that the Brazilian market has distinctive characteristics in relation to developed markets.

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Section: Previous Studies and Research Hypothesismentioning

confidence: 96%

Section: Mispricing and Investor Sentimentmentioning

confidence: 99%

Asymmetric Impact of Investor Sentiment on Brazilian Stock Market Volatility

Ferreira

Machado

Silva

2021

RAM, Rev. Adm. Mackenzie

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“…The feeling measures can be classified as explicit or implicit, regarding the way the indicator is obtained. It is explicit when it derives directly from a direct questionnaire, and it is implicit when it is obtained from indirect information (Neves et al ., 2016).…”

Section: Theoretical Frame Of Referencementioning

confidence: 99%

Exogenous shock: hierarchical effect of the industrial entrepreneur confidence in the mist of the COVID-19 pandemic

Conceição,

Lima

2023

RBF

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PurposeIn the context of investment decisions, the intricate interplay between exogenous shocks and their influence on investor confidence significantly shapes their behaviors and, consequently, their outcomes. Investment decisions are influenced by uncertainties, exogenous shocks as well as the sentiments and confidence of investors, factors typically overlooked by decision-makers. This study will meticulously examine these multifaceted influences and discern their intricate hierarchical nuances in the sentiments of industrial entrepreneurs during the COVID-19 pandemic.Design/methodology/approachEmploying the robust framework of the generalized linear latent and mixed models (GLLAMM), this research will thoroughly investigate individual and group idiosyncrasies present in diverse data compilations. Additionally, it will delve deeply into the exogeneity of disturbances across different sectors and regions.FindingsRelevant insights gleaned from this research elucidate the adverse influence of exogenous forces, including pandemics and financial crises, on the confidence of industrial entrepreneurs. Furthermore, a significant discovery emerges in the regional analysis, revealing a notable homogeneity in the propagation patterns of industrial entrepreneurs' perceptions within the sectoral and regional context. This finding suggests a mitigation of regional effects in situations of global exogenous shocks.Originality/valueWithin the realm of academic inquiry, this study offers an innovative perspective in unveiling the intricate interaction between external shocks and their significant impacts on the sentiment of industrial entrepreneurs. Furthermore, the utilization of the robust GLLAMM captures the hierarchical dimension of this relationship, enhancing the precision of analyses. This approach provides a significant impetus for data-informed strategic directions.

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The Causal Nexus of Consumer and Business Confidence Indexes in Early Pandemic Period: Evidence from OECD Countries

Бєлова

Halík

Ryabushka

2021

JRFM

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The COVID-19 pandemic has been shown dire consequences for the global economy, not only in the past and present but also in the future. These consequences are not only humanitarian but also financial and economic. This article raises the question of whether the state of the health system is a factor that determines the direction of changes in consumer and business sentiment during the COVID-19 or whether other factors are more significant. The goal is to find out whether there is real progress in the national health system of a particular country or a regression and on this base to answer the question: What is more important for the expectations of the population and industry during the spread of the pandemic; the dynamics of the development of the health system or other factors? To assess the dynamics of the development of the health care system in different countries, we used the annual data on individual health indicators of the OECD countries for 2006–2019. There were identified countries with dynamic development and a slowing/deteriorating health system. Based on Granger’s approach in EViews, we used the Augmented Dickey–Fuller test and admit that health care systems are not a determining factor in consumer and business sentiment during a pandemic, i.e., only economic factors. The research contributes to the developed COVID-19 research by examining the impact of the changes in the mutual influence of Confidence indexes and macro indicators during the pandemic.

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The unidirectional relationship between consumer confidence and PSI-20 returns - The influence of the economic cycle

Cited by 3 publications

References 0 publications

Asymmetric Impact of Investor Sentiment on Brazilian Stock Market Volatility

Asymmetric Impact of Investor Sentiment on Brazilian Stock Market Volatility

Exogenous shock: hierarchical effect of the industrial entrepreneur confidence in the mist of the COVID-19 pandemic

The Causal Nexus of Consumer and Business Confidence Indexes in Early Pandemic Period: Evidence from OECD Countries

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