Cross-border sentiment: an empirical analysis on EU stock markets

Bai, Ye

doi:10.1080/09603107.2013.864035

Cited by 52 publications

(51 citation statements)

References 43 publications

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“…Wang, Yang, and Chen [23] suggested that infectious disease outbreaks have a major impact on the performance of biotechnology stock in Taiwan. According to Bai [24] Baker, Wurgler, and Yuan [25] investors may feel pessimistic about investment prospects in a given market, selling off that market's stocks under communicable disease outbreak.…”

Section: Impacts On Stock Market Performancesmentioning

confidence: 99%

The COVID-19 Outbreak and Affected Countries Stock Markets Response

Liu

Manzoor

Wang

et al. 2020

IJERPH

681

569

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This paper evaluates the short-term impact of the coronavirus outbreak on 21 leading stock market indices in major affected countries including Japan, Korea, Singapore, the USA, Germany, Italy, and the UK etc. The consequences of infectious disease are considerable and have been directly affecting stock markets worldwide. Using an event study method, our results indicate that the stock markets in major affected countries and areas fell quickly after the virus outbreak. Countries in Asia experienced more negative abnormal returns as compared to other countries. Further panel fixed effect regressions also support the adverse effect of COVID-19 confirmed cases on stock indices abnormal returns through an effective channel by adding up investors' pessimistic sentiment on future returns and fears of uncertainties.

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Section: Impacts On Stock Market Performancesmentioning

confidence: 99%

The COVID-19 Outbreak and Affected Countries Stock Markets Response

Liu

Manzoor

Wang

et al. 2020

IJERPH

681

569

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show abstract

“…Brown and Cliff (2004) argue that the first principal component of various financial market indicators is sufficient to provide a reliable measure of unobserved sentiment. This procedure is now a generally accepted method of measuring investor sentiment, and has been used inter alia by Wurgler (2006, 2007), Chen, Chong and Duan (2010), Baker, Wurgler, and Yuan (2012), Chen, Chong and She (2014) and Bai (2014) to construct sentiment indices for various countries so as to examine the effect of sentiment on stock returns. Notwithstanding the popularity of this method, few composed sentiment indices have been constructed for the UK.…”

Section: Introductionmentioning

confidence: 99%

“…Notwithstanding the popularity of this method, few composed sentiment indices have been constructed for the UK. In fact, the only two as far as we are aware is an annual market-wide index by Baker, Wurgler, and Yuan (2012), and a weekly market-wide index by Bai (2014) based on the Baker and Wurgler (2006) approach.…”

Section: Introductionmentioning

confidence: 99%

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Is investor sentiment contagious? International sentiment and UK equity returns

Hudson

Green

2015

Journal of Behavioral and Experimental Finance

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This paper contributes to a growing body of literature studying investor sentiment. Separate sentiment measures for UK investors and UK institutional investors are constructed from commonly cited sentiment indicators using the first principle component method. We then examine if the sentiment measures can help predict UK equity returns, distinguishing between "turbulent" and "tranquil" periods in the financial markets. We find that sentiment tends to be a more important determinant of returns in the run-up to a crisis than at other times. We also examine if US investor sentiment can help predict UK equity returns, and find that US investor sentiment is highly significant in explaining the UK equity returns.

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“…Corredor et al (2013) investigate which factors, stock characteristics or country-specific ones, drive the effect of sentiment on European stock returns and conclude that both have an effect on the influence of sentiment. The results of Bai (2014) indicate that regional sentiment has a greater influence on European stock markets compared to the local one and that US sentiment is less important for euro-zone countries. Corredor et al (2015) find evidence that sentiment effect is more pronounced in the emerging EU markets.…”

Section: Introductionmentioning

confidence: 94%

The pricing of sentiment risk in European stock markets

Keiber

Samyschew

2018

The European Journal of Finance

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This paper studies whether sentiment is rewarded with a significant risk premium on the European stock markets. We examine several sentiment proxies and identify the Economic Sentiment Indicator (ESI) from the EU Commission as the most relevant sentiment proxy for our sample. The analysis is performed for the contemporaneous excess returns of eleven euro area (EA-11) stock markets in the period from February 1999 to September 2015. We apply a conditional multiplebeta pricing model in order to track the variation of the sentiment risk premium over time. The results demonstrate a positive significant relationship between sentiment and contemporaneous excess returns which is consistent to the previous studies. The calculated sentiment risk premium is significant as well but of a negative sign implying that an investment in EA-11 countries over the examined time period would have been unattractive to the investors on average.

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Cross-border sentiment: an empirical analysis on EU stock markets

Cited by 52 publications

References 43 publications

The COVID-19 Outbreak and Affected Countries Stock Markets Response

The COVID-19 Outbreak and Affected Countries Stock Markets Response

Is investor sentiment contagious? International sentiment and UK equity returns

The pricing of sentiment risk in European stock markets

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