Skip to main content

Measuring investor sentiment in equity markets

Buy Article:

$43.00 plus tax (Refund Policy)

Abstract:

Recently, investor sentiment has become the focus of many studies on asset pricing. Research has demonstrated that changes in investor sentiment may trigger changes in asset prices, and that investor sentiment may be an important component of the market pricing process. Some authors suggest that shifts in investor sentiment may in some instances better explain short-term movement in asset prices than any other set of fundamental factors. This paper develops an Equity Market Sentiment Index from publicly available data, and then demonstrates how this measure can be used in a stock market setting by studying the price movements of a group of firms which represent a stock market index. News events that affect the underlying market studied are quickly captured by changes in this measure of investor sentiment, and the sentiment measure is capable of explaining a significant proportion of the changes in the stock market index.Journal of Asset Management (2006) 7, 208–215; doi:10.1057/palgrave.jam.2240214

Document Type: Research Article

DOI: http://dx.doi.org/10.1057/palgrave.jam.2240214

Publication date: September 1, 2006

Access Key

Free Content
Free content
New Content
New content
Open Access Content
Open access content
Partial Open Access Content
Partial Open access content
Subscribed Content
Subscribed content
Free Trial Content
Free trial content
Cookie Policy
X
Cookie Policy
Ingenta Connect website makes use of cookies so as to keep track of data that you have filled in. I am Happy with this Find out more