How Does the Change in Investor Sentiment over Time Affect Stock Returns?

Ding, Cherng G.; Wang, Hung Jui; Lee, Meng Che; Hung, Wen Chi; Lin, Chieh‐Peng

doi:10.2753/ree1540-496x5002s210

Cited by 14 publications

(7 citation statements)

References 45 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…The observation that profitability will trigger the addition of the Islamic firm value, as the firm size gets larger. This result can be regarded, among other things, by the fact that consistency between financial profit and firm value permits management to engage in the investment opportunity (Santosa, 2010;Ding et al, 2014). The last hypothesis is the interaction between firm size and efficiency on firm value.…”

Section: The Effect Of Moderating Variable Firm Size On the Relationsmentioning

confidence: 99%

The Moderating Role of Firm Size on Financial Characteristics and Islamic Firm Value at Indonesian Equity Market

Santosa

2020

Business: Theory and Practice

View full text Add to dashboard Cite

This study aims to understand the moderating role of firm size on financial characteristics and Islamic firm value. Then study how the influence of firm size moderation on the relationship of financial characteristics and corporate governance with firm value. This study uses secondary data from financial statements and analyzed by the panel data method for six years. The sample selection is arranged by the purposive sampling method with Islamic index constituent population. Conclusion: leverage, profitability, and efficiency have a significant positive effect on Islamic firm value, but the liquidity and audit committee do not affect. Firm size moderators provide a reinforcing effect for all independent variables so that liquidity and audit committees have a positive effect on firm value. Implications: Islamic firm investors in the equity market should consider the crucial variable, namely firm size, in addition to firm and corporate governance characteristics. These conclusions provide important implications for managers and relevant authorities to enhance financial market information related to firm value and further attention to corporate governance mechanisms.

show abstract

Section: The Effect Of Moderating Variable Firm Size On the Relationsmentioning

confidence: 99%

The Moderating Role of Firm Size on Financial Characteristics and Islamic Firm Value at Indonesian Equity Market

Santosa

2020

Business: Theory and Practice

View full text Add to dashboard Cite

show abstract

“…Generally, there are two main methods to measure investor sentiment. e first is to use market indicators, which include trading volume and turnover, mutual fund flows, closed-end fund discounts, dividend premium, volume of initial public offerings, and first-day returns on IPOs [12,13]. e second is to use direct indicators, which are often obtained by questionnaire.…”

Section: Measurement Of Investor Sentimentmentioning

confidence: 99%

“…Its greatest advantage is its simplicity and directness. e mostly used direct indicators include the University of Michigan Consumer Sentiment Index, American Association of Individual Investors Index (AAII), the Investors Intelligence Sentiment Index, and the UBS/GALLUP Index for Investor Sentiments [12,14,15]. Both methods have defects.…”

Section: Measurement Of Investor Sentimentmentioning

confidence: 99%

The Effect of Online Investor Sentiment on Stock Movements: An LSTM Approach

Wang

2020

Complexity

View full text Add to dashboard Cite

With more and more investors exerting their voices through network forums or social media platforms, the relationships between online investor sentiment and stock movements have drawn more and more attention. In this paper, we crawl stock comments from China’s most popular online stock forum, East Money (www.eastmoney.com), and then develop a sentiment classifier using the LSTM method. Using the online investor sentiment of the stock forum, we explore the effect of online investor sentiment on the stock movements of CSI300. The results show that online investor sentiment has a significant positive impact on both stock return and trading volume and remains significant after controlling book-to-market ratio, BETA, and market value. Moreover, investor sentiment has a significant positive impact on order imbalance of big trade, which represents the main flow of money in the market. As a result, investor sentiment has a positive impact on the major fund flows in the market. In other words, an increase in investor sentiment can boost the major money flows in the market to some extent. From a practical point of view, investor sentiment can assist investors to make investment decisions and help the government to regulate the stock market.

show abstract

“…Danso & Adomako (2014) identified the capital structure of firms in South Africa and found that Africa was not isolated from the impact of the 2007-2008 financial crises. Ding et al (2014) demonstrated that the influence of the investor's sentiment trend on stock returns build upon the direction of the investor's sentiments change (optimistic or pessimistic). Labuschagne et al (2015) argued that GARCH models produce more accurate results than risk-neutral historic distribution (RNHD) models for constant interest rates.…”

Section: Literature Reviewmentioning

confidence: 99%

Modelling time-varying volatility using GARCH models: evidence from the Indian stock market

et al. 2022

View full text Add to dashboard Cite

Background: In this study, we examined the volatility of the Indian stock market from 2008 to 2021. Owing to the financial crisis, volatility forecasting of the Indian stock market has become crucial for economic and financial analysts. An empirical study of the returns of the NSE indices revealed an autoregressive conditional heteroskedastic trend in the Indian stock market. Methods: Using GARCH 1, 1 (generalized autoregressive conditional heteroskedasticity) and FIGARCH (fractionally integrated GARCH), we examine investor behaviour and the persistence of long-term volatility. Results: The empirical findings of the estimated models suggest that shocks persist for a long time in NSE returns. Furthermore, bad news has a greater impact on stock volatility than good news. The return on assets is stable but highly volatile, even though the Indian economy has experienced the global crash to some extent. Conclusions: Models of volatility derived from the GARCH equation provide accurate forecasts and are useful for portfolio allocation, performance measurement, and option valuation.

show abstract

How Does the Change in Investor Sentiment over Time Affect Stock Returns?

Cited by 14 publications

References 45 publications

The Moderating Role of Firm Size on Financial Characteristics and Islamic Firm Value at Indonesian Equity Market

The Moderating Role of Firm Size on Financial Characteristics and Islamic Firm Value at Indonesian Equity Market

The Effect of Online Investor Sentiment on Stock Movements: An LSTM Approach

Modelling time-varying volatility using GARCH models: evidence from the Indian stock market

Contact Info

Product

Resources

About