Investor mood and financial markets

Shu, Hui-Chu

doi:10.1016/j.jebo.2010.06.004

Cited by 98 publications

(80 citation statements)

References 67 publications

(83 reference statements)

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“…Such an explanation would be consistent with the "riskas-feelings" model propounded by Loewenstein et al (2001) which portrays the decision-making process as a product of cognitive evaluations and emotional reactions. In the same spirit, Nofsinger (2005) and Shu (2010) argued that social mood is of great consequence for financial markets and that it can drive the changes in prices of common equity. One would expect high values of Positive to be associated with strong stock market performance.…”

Section: Variable Description and Data Sourcesmentioning

confidence: 98%

When the EU Leaders Speak, the Markets Listen

Wisniewski

Moro

2012

SSRN Journal

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We use content analysis software to examine certain characteristics of communications arising from European Council meetings. These characteristics appear to explain a large proportion of variation in stock returns around the meeting dates. More specifically, stock market investors react favorably when the conclusions and declarations issued by heads of states convey a positive sentiment and demonstrate a stance of moral rectitude. On the other hand, the returns tend to be negative when the communications are obfuscated by an excessive use of abstract words and fixated on regional rather than global issues. JEL Classifications: F50, G12, G14, G15

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Section: Variable Description and Data Sourcesmentioning

confidence: 98%

When the EU Leaders Speak, the Markets Listen

Wisniewski

Moro

2012

SSRN Journal

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“…In this vein, Shu (2010) argued that optimistic investors are less patient than those who are more pessimistic and react aggressively by underestimating their exposure to risk. Oppositely, the more pessimistic investors display a high-level of risk aversion.…”

Section: Literature Reviewmentioning

confidence: 99%

Empirical Linkages between Trading Volume and Stock Markets Shocks: When Sentiments Drive Investors’ Behavior

Dhaoui¹

2015

JECOSS

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“…His findings present that those sentiment measures have very little out-of-sample predictive power, though they present significant in-sample results. Shu (2010) studies the influence of mood on financial market behavior. The study shows how investor mood variations affect equilibrium asset prices and expected returns.…”

Section: Literature Reviewmentioning

confidence: 99%

The relationship between market sentiment index and stock rates of return: a panel data analysis

Yoshinaga

Castro

2012

BAR, Braz. Adm. Rev.

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This article analyzes the relationship between market sentiment and future stock rates of return. We used a methodology based on principal component analysis to create a sentiment index for the Brazilian market with data from 1999 to 2008. The sample consisted of companies listed on BM&FBOVESPA which were grouped into quintiles, each representing a portfolio, according to the magnitude of the following characteristics: market value, total annualized risk and listing time on BM&FBOVESPA. Next, we calculated the average return of each portfolio for every quarter. The data for the first and last quintiles were analyzed via two-factor ANOVA, using sentiment index of the previous period (positive or negative) as the main factor and each characteristic as controlling factors. Finally, the sentiment index was included in a panel data pricing model. The results indicate a significant and negative relationship between the market sentiment index and the future rates of return. These findings suggest the existence of a reversion pattern in stock returns, meaning that after a positive sentiment period, the impact on subsequent stock returns is negative, and vice-versa.

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Investor mood and financial markets

Cited by 98 publications

References 67 publications

When the EU Leaders Speak, the Markets Listen

When the EU Leaders Speak, the Markets Listen

Empirical Linkages between Trading Volume and Stock Markets Shocks: When Sentiments Drive Investors’ Behavior

The relationship between market sentiment index and stock rates of return: a panel data analysis

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