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The research investigates how US individual investor sentiment influences financial stock market returns and volatility, focusing on the SP500 index from 1970 to 2018. Utilizing survey data and the EGARCH-M model, it first regresses market fundamentals against investor sentiment to assess macroeconomic risk factors. The findings indicate that unexpected increases in the rational component of investor sentiment significantly enhance stock returns across various US industries, highlighting the critical role of sentiment in market dynamics.
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The impact of investor sentiment on index performance, Kawther Trabelsi, Wajdi Frikha
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- Année de publication
- 2023
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