This paper explores the impact of investor sentiment on financial markets in China by taking the quantile causality test. We find that government bond markets, gold markets, and foreign exchange markets are affected by stock investor sentiment, excep...
Investor sentiment is an important aspect of behavioural finance, which provides explanation of anomalies to the asset’s intrinsic values. Sentiments can easily affect individual investors. Historically, Australia is regarded as rich in resourc...
Against the backdrop of rising corporate social irresponsibility (CSI) incidents in China’s capital market, this study examines how CSI affects short-window market reactions and through which investor-side mechanisms this effect operates. Using...
The Baker and Wurgler (2006) sentiment index purports to measure irrational investor sentiment, while the University of Michigan Consumer Sentiment Index is designed to largely reflect fundamentals. Removing this fundamental component from the Baker...
The Investor Sentiment Index (ISI) is widely regarded as a useful measure to gauge the overall mood of the market. Investor panic may result in contagion, causing failure in financial markets. Market participants widely use the ISI indicator to under...
At present, the proportion of individual financial investors in China is relatively high, the phenomenon of noisy trading is frequent, and the market system risk caused by the polarization of investor sentiment cannot be ignored. Therefore, exploring...
This study examines the role of investor sentiment in asset pricing within a frontier market, focusing on Vietnam. Using a comprehensive dataset covering the period 2015–2025 with 4018 observations, sentiment indices are constructed from both m...
We examine whether investor sentiment affects price discrepancies between preferred and common stocks, based on a sample of Korean firms that issue preferred stocks. While most research has focused on corporate finance features such as voting rights,...
Given the rising global interest in Environmental, Social, and Governance (ESG), this paper investigates whether a company’s ESG news affects equity investors’ sentiment, addressing a gap in the relevant research. Interest in ESG investin...
This paper investigates herding behavior and the connection between herding behavior and investor sentiment. We apply a Cross-Sectional Absolute Deviation (CSAD) approach and the quantile regression method to capture herding behavior in the KOSPI and...
Green innovation plays an increasingly significant role in sustainable development. We use the data of Chinese listed firms from 2010 to 2019 to investigate the impact of investor sentiment on corporate green innovation. The result indicates that opt...
This paper evaluates the impact of retail investors’ bullish sentiment in comparison to that of financial institutions on the return of Chinese CSI 300 index stocks over the period of 2015 to 2023. We document several regularities. First, the s...
This study investigates the contemporaneous associations between investor sentiment, market microstructure, and daily sectoral returns on Boursa Kuwait. The analysis utilizes daily data spanning from January 2021 to May 2025, integrating sectoral ret...
We study a direct, firm-level measure of investor sentiment derived from social media (BTSS sentiment). While related to firm fundamentals, BTSS sentiment contains a substantial non-fundamental component. We decompose sentiment into fundamental and p...
In the post-pandemic era, companies are facing challenges in their business development and may pay fewer attention to their sustainable development performance, whereas the investors are looking for better corporate sustainable development. Using a...
We examine whether investor sentiment can explain anomalies such as size and book-to-market in the US stock market. Differently from the literature, we test combination portfolios (portfolios formed on more than one factor such as size, book-to-marke...
This study analyzes the effect of overnight returns on subsequent stock market returns and investigates whether they do capture investor sentiment in the Korean stock market. Recent study showed that overnight returns are similar to existing sentimen...
The exponential growth in popularity of ETFs over the last three decades has solidified ETFs as an essential component of many investors’ portfolios. Investor sentiment is one of the factors that influence market returns of ETFs during times of...
This study examines how investor sentiment and information transparency jointly shape informational efficiency in China’s A-share market. Using a monthly panel of major CSI stock indices from 2008 to 2023, we measure market efficiency through a...
This paper focuses on China’s gold futures market. Using East Money investor posts and the FinBERT2 model, we construct a multidimensional sentiment indicator comprising overall sentiment, positive/negative intensity, and six fine-grained senti...
This research investigates the dynamic spillover effects among green bond markets and the impact of investor sentiment on these spillovers. We employ different research methods, including a time-varying parameter vector autoregression, an exponential...
Investor sentiment transmission is significantly influential over financial markets. Prior studies do not reach a consensus about the multi-scale transmission patterns of investor sentiment. Our study proposed a composite set of methods based on wave...
Investor sentiment has increasingly been recognized as a behavioural factor influencing asset prices beyond traditional rational asset pricing models, yet evidence from South Africa’s property remains limited. This study investigates the short-...
This paper aims to explore the dynamic relationships between the crude oil price (shocks) and investor sentiment. Specifically, this paper utilizes web crawler to construct Chinese investor sentiment index. The structural vector autoregression (SVAR)...
This research investigates the function of price discovery between the Bitcoin futures and the spot markets while also analyzing the impact of investor sentiment and attention on these markets. This study utilizes various statistical models to examin...
This work delineates the factors determining investor sentiment in specific regions during the pandemic and the influence of attitudes towards vaccination. The findings show that the reactions of knowledgeable investors in different regions to the ec...
This paper studies the impact of a high-frequency investor sentiment measure (New FEARS) on the returns of foreign securities listed in U.S. markets as American Depository Receipts (ADRs). We recreate a high-frequency investor sentiment measure by ag...
A part of the financial literature has attempted to explain idiosyncratic asset shocks through investor behavior in response to company news and events. As a result, there has been an increase in the development of different investor sentiment measur...
We investigated whether post-earnings announcement drift (PEAD) in the Korean stock market is related to investor inertial behavior under a directional trend in market sentiment. Given that investors tend to procrastinate due to their belief in the p...
The objective of the study is to examine the effects of investor sentiment on the Johannesburg Stock Exchange (JSE) index returns in bull and bear market conditions. Accordingly, this study uses monthly data to construct a new market-wide investor se...
This study attempts to investigate the nexus between investor sentiment and cryptocurrencies prices. Our empirical investigation merges bivariate and multivariate wavelet tools to examine the investor sentiment nexus to inter-cryptocurrencies prices....
This article constructs a behavioral financial model that provides feedback on both historical prices and company fundamentals without considering asset liquidation to discuss the long-term impact of investor sentiment and feedback trading on asset p...
This study investigates the relationship between investor sentiment (IS) and trust in sustainability reports (TSRs) in Egypt, which is an emerging market that has recently strengthened its sustainability disclosure practices. Drawing on behavioral fi...
Investor sentiment has a profound impact on financial market volatility; however, it is difficult to accurately capture the complex nonlinear relationships among sentiment proxies with the existing methods. In this study, we propose a novel investor...
The co-movement of multi-asset markets in emerging markets has become an important determinant for investors seeking diversified portfolios and enhanced portfolio returns. Despite this, studies have failed to examine the determinants of the co-moveme...
This study examines whether investor sentiment drives volatility spillovers between socially responsible and traditional mutual funds. The rapid growth of responsible investing in emerging markets raises questions about whether higher costs deliver i...
The inherent uncertainty and information asymmetry in financial markets create significant challenges for accurate price forecasting. Although investor sentiment analysis has gained traction in recent research, the temporal dimension of sentiment dyn...
The excess levels of investor participation coupled with irrational behaviour in the South African bond market causes excess volatility, which in turn exposes investors to losses. Consequently, the study aims to examine the effect of market-wide inve...
This paper examines the quantile connectedness between Real Estate Investment Trusts (REITs), housing market sentiment, and stock market sentiment in the U.S. over the period between January 2014 and June 2022 using the quantile vector autoregression...
We investigated the connectedness of the returns and volatility of clean energy stock, technology stock, crude oil, natural gas, and investor sentiment based on the time-varying parameter vector autoregressive (TVP-VAR) connectedness approach. The em...
This study employs the economic policy uncertainty index to gauge the level of economic policy uncertainty in China. Utilizing textual data from the growth enterprise market internet community, we construct the growth enterprise market investor senti...
Against the backdrop of intensifying global climate change, climate policy uncertainty (CPU) and investor sentiment have become critical factors influencing the stability of financial markets. In this study, a quantitative index of investor sentiment...
The rapid expansion of technology finance poses complex challenges to systemic risk management, yet the existing literature lacks a game-theoretic framework to explain the dynamic risk transmission mechanisms involving investor sentiment and asset bu...
In this paper, we propose utilizing machine learning methods to determine the expected aggregated stock market risk premium based on online investor sentiment and employing the multifold forward-validation method to select the relevant hyperparameter...
In the current situation of U.S.-China trade turbulence, this study focuses on quarterly panel data from May 2016 to September 2019 in order to verify the effectiveness of feedback trading strategy and smart money theory in stabilizing U.S.-China sec...
The present study examines bi-directional contemporaneous and lead–lag relationships between investor sentiment and market returns in the emerging market of Pakistan over the period of 2006 to 2016. To measure investor sentiment, the study empl...
Using a sample of S&P 500 stocks, this paper examines the investor sentiment spillover network between firms and assesses how the sentiment connectedness in the network impacts stock price crash risk. We demonstrate that firms with higher sentime...
Leveraged trading exhibits the characteristics of “strong margin trading and weak short selling” in the Chinese stock market. On the basis of monthly data on leveraged trading in the Chinese stock market from January 2014 to December 2016...
In this study, we investigated the impact of COVID-19 investor sentiment (CS), number of cases (CC), and deaths (CD) on bank stock returns in 16 MENA countries. In addition, we examined the interaction effects of CS with CC and CD on bank stock retur...
Sentiment and extrapolation are ubiquitous in the financial market, and they are not only the embodiment of human nature, but also the primary drivers of asset price bubbles. In this study, we first constructed a theoretical model that included funda...
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