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Does sentiment matter for stock returns? Evidence from Indian stock market using wavelet approach
Published in Elsevier
2017
Volume: 26
   
Pages: 32 - 39
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.

About the journal
JournalData powered by TypesetFinance Research Letters
PublisherData powered by TypesetElsevier
ISSN1544-6123
Open AccessNo