Investor Sentiment and Stock Market Returns by Various Investment Horizon: Evidence from Market Index
| Autor: | Wen-sheng Lin, 林文勝 |
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| Rok vydání: | 2015 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 103 In the stock investing market, investors are always prone to be influenced by emotional and unrelated factors when they make investment decisions. These irrational behaviors indeed further affect the price and return of the underlying assets. This study investigates the relationship between investor sentiment and stock market return under various investment horizons. That is, we focus on whether there is different effect of the investment horizon on the sentiment return relationship. This study examines the relation by using four data frequencies such as weekly, monthly, bimonthly, and quarterly. The results show that Taiwan e-investor sentiment index has a positive relation to the contemporary returns, while has a negative relation to the future returns. When the stock market goes upward (downward), there is a rising (decreasing) investor sentiment that appears in the same time. However, investor sentiment is an inverse indicator in predicting the future returns. This study suggests that investor sentiment has a different effect on the contemporary and future stock returns. The suggestions for optimal holding period could be given under various investment horizons. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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