Investor Psychology, Mood Variations, and Sustainable Cross-Sectional Returns: A Chinese Case Study on Investing in Illiquid Stocks on a Specific Day of the Week

Qin, Ying; Yousaf, Tahir; Ain, Qurat ul; Akhtar, Yasmin

doi:10.3389/fpsyg.2020.00173

Cited by 4 publications

(3 citation statements)

References 27 publications

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“…Hence, Islamic stock indices deal with risk averters and conventional stock indices favor tail risk frontiers. In their recent study, Ying et al (2020) supported the findings that are in line with the previous study of Baker et al (2012). They stated that investors show a low demand for the safe-haven products during a high sentiment period, while investors look forward to quality during a low sentiment-holding period.…”

Section: Literature Reviewsupporting

confidence: 80%

“…Third, an optimum level of co-movement leads to making gains and shrinking risk patterns in different asset classes. Finally, these phenomena provide essential consequences and practical implications for investors' behavior and psychology, portfolio diversification and risk-return strategies (Mensi et al 2017b(Mensi et al , 2018Ying et al 2020).…”

Section: Introductionmentioning

confidence: 99%

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Co-Movement, Portfolio Diversification, Investors’ Behavior and Psychology: Evidence from Developed and Emerging Countries’ Stock Markets

Sahabuddin

Islam

Tabash

et al. 2022

JRFM

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The issue of co-movements is still crucial and arguable in international finance. An optimum and significant level of co-movement is highly desirable to investors, and it mostly depends on investors’ decisions (behavior and psychology). We use frequency–time bands and multi-scale-based wavelet analysis to investigate the co-movement between developed and emerging countries’ stock markets for better asset allocation and portfolio diversification strategies. The results show that a significant level of co-movement is observed between conventional and Islamic stock markets in developed and emerging countries, and it varies in terms of its time–frequency domain properties. Particularly, the dependency among conventional and Islamic stock markets is strong at 4–512-band scales. However, the USA Islamic stock market illustrates a higher level of coherency with the UK, Japan and China’s Islamic stock markets, while a relatively lower level of co-movement is detected with the Chinese composite, Malaysian and Indonesian Islamic stock markets. The findings further confirm that the developed countries’ stock markets are substantially influenced by the GFC in 2007–2008 and the European debt crisis in 2012, while this trend is surprisingly not observed in the emerging markets on a similar scale. Therefore, these crises have opened the door for the grabbing of portfolio diversification benefits from the emerging countries’ stock markets. These findings give some interesting insights to policymakers, investors and fund managers for portfolio diversification and risk management strategies.

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Section: Literature Reviewsupporting

confidence: 80%

Section: Introductionmentioning

confidence: 99%

Co-Movement, Portfolio Diversification, Investors’ Behavior and Psychology: Evidence from Developed and Emerging Countries’ Stock Markets

Sahabuddin

Islam

Tabash

et al. 2022

JRFM

View full text Add to dashboard Cite

show abstract

“…Various scholarly research outcomes discuss the empirical explanations of asset pricing bubbles as external factors of capital markets, like macroeconomic factors (Ying et al, 2019(Ying et al, , 2020. These mainly originate from regulatory reforms made to correct the flaws in investment regulation norms.…”

Section: Introductionmentioning

confidence: 99%

Mood Sensitive Stocks and Sustainable Cross-Sectional Returns During the COVID-19 Pandemic: An Analysis of Day of the Week Effect in the Chinese A-Share Market

et al. 2021

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This study examines two stock market anomalies and provides strong evidence of the day-of-the-week effect in the Chinese A-share market during the COVID-19 pandemic. Specifically, we examined the Quality minus Junk (QMJ) strategy return on Monday and FridayQuality stocks mean portfolio deciles that earn higher excess returns. As historical evidences suggest that less distressed/safe stocks earn higher excess returns (Dichev, 1998).. The QMJ factor is similar to the division of speculative and non-speculative stocks described by Birru (2018). Our findings provide evidence that the QMJ strategy gains negative returns on Fridays for both anomalies because the junk side is sensitive to an elevated mood and, thus, performs better than the quality side of portfolios on Friday. Our findings are also consistent with the theory of investor sentiment which asserts that investors are more optimistic when their mood is elevated, and generally individual mood is better on Friday than on other days of the week. Therefore, the speculative stocks earned higher sustainable stock returns during higher volatility in Chinese market due to COVID-19. Intrinsically, new evidence emerges on an inclined strategy to invest in speculative stocks on Fridays during the COVID-19 pandemic to gain sustainable excess returns in the Chinese A-share market.

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Effect of Air Pollution on the Stock Yield of Heavy Pollution Enterprises in China’s Key Control Cities Under Climate Change

Guo

2021

Economic Impacts and Emergency Management of Disasters in China

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Investor Psychology, Mood Variations, and Sustainable Cross-Sectional Returns: A Chinese Case Study on Investing in Illiquid Stocks on a Specific Day of the Week

Cited by 4 publications

References 27 publications

Co-Movement, Portfolio Diversification, Investors’ Behavior and Psychology: Evidence from Developed and Emerging Countries’ Stock Markets

Co-Movement, Portfolio Diversification, Investors’ Behavior and Psychology: Evidence from Developed and Emerging Countries’ Stock Markets

Mood Sensitive Stocks and Sustainable Cross-Sectional Returns During the COVID-19 Pandemic: An Analysis of Day of the Week Effect in the Chinese A-Share Market

Effect of Air Pollution on the Stock Yield of Heavy Pollution Enterprises in China’s Key Control Cities Under Climate Change

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