Understanding the impact of investor sentiment on the price formation process: A review of the conduct of American stock markets

Bouteska, Ahmed

doi:10.1016/j.jeca.2020.e00172

Cited by 28 publications

(12 citation statements)

References 63 publications

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“…As far as market-based measures were concerned, Baker and Wurgler combined several agents based on a single market into a comprehensive sentiment index. The index was composed of six market-based variables: The abbreviations for the six variables are TURN, CEFD,NIPO,RIPO,S,PDND [4].Market-based variables tend to favor ratios because they respectively represent NYSE turnover rate, closed-end fund discount, number of initial public offerings, average first-day return of initial public offerings, new offerings of shares, and dividend premium [4].…”

Section: America (1) a Measure Of Investor Sentimentmentioning

confidence: 99%

“…The indicators of investor sentiment could be divided into two parts, individual investors and institutional investors. Individual investor sentiment can be measured by Association of Individual Investors (AAII), Consumer Confidence Index (CCI), And the Michigan Consumer Sentiment Index (MS) [4].Investor Intelligence fell into the latter category and was defined by professionals [4]. The remaining indicators measured up to individual investor perceptions because they were highly correlated with investor insight [4].…”

Section: America (1) a Measure Of Investor Sentimentmentioning

confidence: 99%

“…In fact, the increased risk of the carry trade was due to the strong influence of investor sentiment on it. From this perspective, the study examined the link between optimistic heuristics and the phenomena of underreaction and overreaction associated with the bursting of the Internet bubble [4]. Based on US data, financial analysts were sensitive to good news.…”

Section: ) the Impact Of Investor Sentiments On The Stock Pricesmentioning

confidence: 99%

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The Impact of Investor Sentiment on Stock Prices in The Developed and Developing Countries

Xie¹

2023

BCPBM

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The study of causal relationship of investor sentiment on stock prices has got more and more attention. This paper examines the impact of investor sentiment on investment behavior and thus on stock prices in four different countries including two developed countries (United States and United Kingdom), and two developing countries (China and India). Due to different levels of development, different countries have different measures of consumer sentiment. Therefore, the author enumerates in detail the measures of sentiment index for each studied country. By comparing representatives of investor indices, the index accuracy was analyzed as a function of market spacing. In addition, the differences between the conclusions of developing countries and developed countries are also compared. Meanwhile, the mutual influence of investor sentiment was summarized among developed countries. The empirical findings show that the study about exploring the causal relationship of the investor sentiment on the stock prices plays an important role in formulating detailed investor strategies. In other words, investors who are familiar with the impact of emotions on stock prices can be more successful in stock investing and their investment risk can be reduced than those who are not.

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Section: America (1) a Measure Of Investor Sentimentmentioning

confidence: 99%

Section: America (1) a Measure Of Investor Sentimentmentioning

confidence: 99%

Section: ) the Impact Of Investor Sentiments On The Stock Pricesmentioning

confidence: 99%

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The Impact of Investor Sentiment on Stock Prices in The Developed and Developing Countries

Xie¹

2023

BCPBM

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“…The dynamics of stock price fluctuations [6], [23], [22] listed companies listed on the Indonesia Stock Exchange (IDX) during the Covid-19 pandemic [24], [6], are felt and experienced is a major blow to all investors, both foreign investors [24] and domestic investors, as a result of the skyrocketing share price the most [2], [25] stock prices in the red zone [26], corona hitting the consumer & miscellaneous industry sector [27], [28], the value of market capitalization also fell [ 29], [30], an increase in the average daily transaction value, an increase in the average daily transaction volume, an increase in the frequency of daily transactions [16], an increase in net selling transactions of foreign investors [17], and an increase in investors managing public funds [18], [19].…”

Section: Literature Reviewmentioning

confidence: 99%

Stock Price of Pandemic Covid-19 in Stock Market Performance

Azis¹,

Burhanuddin²,

Rahayu³

2021

ujaf

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“…Furthermore, investor psychology and mood can spread rapidly across the market. It can influence investors' risk attitude and the criteria's of portfolios selection according to subjective indicators that doesn't reflect the fundamental value (Ahmed, 2020;.…”

Section: Introductionmentioning

confidence: 99%

The mediating role of stock market liquidity on the relationship between Investor sentiment and Stock market volatility: An Applied study on Listed Companies in Egyptian stock Exchange

El-ata

Kerdawy

Shabana

2023

المجلة العلمیة للدراسات والبحوث المالیة والتجاریة

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Purpose: We examined whether investor sentiment affects the volatility of the Egyptian exchange. While examining this relationship, we also test whether stock market liquidity is the channel than can affect the relationship between investor sentiment and Egyptian exchange volatility.Methodology: This study adopted the positivism philosophy, quantative method, and deductive approach. In addition, we collect secondary data from the financial statements of the listed companies on the EGX 100 comprise the study's population. After excluding statements from banks and financial institutions and relying solely on the consolidated financial statement, the sample consists of 305 observations from 76 firms. The data was analyzed to verify if the time series is a stationary time series or not by using Dick-Fuller test and GARCH model. Then, we use the correlation matrix coefficient and descriptive statistics to describe the data. Finally, the research model was validated with structural equation modeling (SEM).Findings: Results of the study found a significant negative relationship between investor sentiment and stock market volatility. Besides, stock market liquidity partially mediates the relationship between investor sentiment and stock market volatility. Recommendations and Further Direction:Based on the results, this study presents recommendations that could help to improve the performance of the Egyptian exchange. Also, it offers some directions for future research.

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Understanding the impact of investor sentiment on the price formation process: A review of the conduct of American stock markets

Cited by 28 publications

References 63 publications

The Impact of Investor Sentiment on Stock Prices in The Developed and Developing Countries

The Impact of Investor Sentiment on Stock Prices in The Developed and Developing Countries

Stock Price of Pandemic Covid-19 in Stock Market Performance

The mediating role of stock market liquidity on the relationship between Investor sentiment and Stock market volatility: An Applied study on Listed Companies in Egyptian stock Exchange

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