Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
8954549 | Finance Research Letters | 2018 | 14 Pages |
Abstract
This article examines the relationship between investor sentiment and stock returns using the data from Indian stock market. We investigate the relationship using a broad set of implicit sentiment proxies and value-weighted market indices. The wavelet method has been used to decompose sentiment variables and stock returns into different timescale frequencies. We find a strong effect of sentiment on return both in the short-and long-run by employing decomposed returns and sentiment proxies at different time-scale frequencies, The study lends support to the fact that whether investors are short-term or long-term traders, their investments activities cannot be delinked from sentiment.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Saumya Ranjan Dash, Debasish Maitra,