重新审视投资者情绪在股市中的作用

IF 5.6 2区 经济学 Q1 BUSINESS, FINANCE
Quyen Pham , Huy Pham , Tra Pham , Aviral Kumar Tiwari
{"title":"重新审视投资者情绪在股市中的作用","authors":"Quyen Pham ,&nbsp;Huy Pham ,&nbsp;Tra Pham ,&nbsp;Aviral Kumar Tiwari","doi":"10.1016/j.iref.2025.104089","DOIUrl":null,"url":null,"abstract":"<div><div>The stock market is a critical determinant of global economic growth, and investor irrational behaviors are remarkable forces that are not only forming stock prices but also determining the stock market's performance. To examine the significant impacts of those irrationalities, various methods have been applied to generate an investor sentiment index. However, isolating the irrational judgments of investors is a challenge and the existing sentiment indices are inefficient. To overcome this shortcoming, this paper develops a new investor sentiment index. We take into account only the irrational part of people's behavior biases that lead to misvaluation in stock markets, neither behavioral biases nor misvaluation per se. We then conducted several robust tests toward stock returns' predictability using time-series data for the U.S. and Chinese markets. Various empirical methods, including OLS, TVP-VAR model, and out-of-sample test are used in this study. Our results confirm the advantages of our index to assess the predictability towards stock returns compared to two common existing measures of investor sentiment: survey-based Consumer Sentiment Index and market-based Baker &amp; Wurgler index. To the best of our knowledge, this is the first study that presents this novel approach to capture the irrationalities of investors.</div></div>","PeriodicalId":14444,"journal":{"name":"International Review of Economics & Finance","volume":"100 ","pages":"Article 104089"},"PeriodicalIF":5.6000,"publicationDate":"2025-04-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Revisiting the role of investor sentiment in the stock market\",\"authors\":\"Quyen Pham ,&nbsp;Huy Pham ,&nbsp;Tra Pham ,&nbsp;Aviral Kumar Tiwari\",\"doi\":\"10.1016/j.iref.2025.104089\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><div>The stock market is a critical determinant of global economic growth, and investor irrational behaviors are remarkable forces that are not only forming stock prices but also determining the stock market's performance. To examine the significant impacts of those irrationalities, various methods have been applied to generate an investor sentiment index. However, isolating the irrational judgments of investors is a challenge and the existing sentiment indices are inefficient. To overcome this shortcoming, this paper develops a new investor sentiment index. We take into account only the irrational part of people's behavior biases that lead to misvaluation in stock markets, neither behavioral biases nor misvaluation per se. We then conducted several robust tests toward stock returns' predictability using time-series data for the U.S. and Chinese markets. Various empirical methods, including OLS, TVP-VAR model, and out-of-sample test are used in this study. Our results confirm the advantages of our index to assess the predictability towards stock returns compared to two common existing measures of investor sentiment: survey-based Consumer Sentiment Index and market-based Baker &amp; Wurgler index. To the best of our knowledge, this is the first study that presents this novel approach to capture the irrationalities of investors.</div></div>\",\"PeriodicalId\":14444,\"journal\":{\"name\":\"International Review of Economics & Finance\",\"volume\":\"100 \",\"pages\":\"Article 104089\"},\"PeriodicalIF\":5.6000,\"publicationDate\":\"2025-04-02\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"International Review of Economics & Finance\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S1059056025002527\",\"RegionNum\":2,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Review of Economics & Finance","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1059056025002527","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0

摘要

股票市场是全球经济增长的重要决定因素,投资者的非理性行为不仅形成股票价格,而且决定股票市场的表现。为了检验这些非理性行为的显著影响,采用了各种方法来生成投资者情绪指数。然而,孤立投资者的非理性判断是一个挑战,现有的情绪指数是低效的。为了克服这一缺点,本文开发了一种新的投资者情绪指数。我们只考虑人们行为偏差中导致股票市场估值错误的非理性部分,既不考虑行为偏差,也不考虑估值错误本身。然后,我们使用美国和中国市场的时间序列数据对股票回报的可预测性进行了几次强有力的测试。本研究采用了OLS、tpv - var模型、样本外检验等实证方法。我们的研究结果证实了我们的指数在评估股票回报可预测性方面的优势,而不是现有的两种常见的投资者情绪指标:基于调查的消费者情绪指数和基于市场的Baker &;Wurgler指数。据我们所知,这是首次提出这种捕捉投资者非理性行为的新方法的研究。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Revisiting the role of investor sentiment in the stock market
The stock market is a critical determinant of global economic growth, and investor irrational behaviors are remarkable forces that are not only forming stock prices but also determining the stock market's performance. To examine the significant impacts of those irrationalities, various methods have been applied to generate an investor sentiment index. However, isolating the irrational judgments of investors is a challenge and the existing sentiment indices are inefficient. To overcome this shortcoming, this paper develops a new investor sentiment index. We take into account only the irrational part of people's behavior biases that lead to misvaluation in stock markets, neither behavioral biases nor misvaluation per se. We then conducted several robust tests toward stock returns' predictability using time-series data for the U.S. and Chinese markets. Various empirical methods, including OLS, TVP-VAR model, and out-of-sample test are used in this study. Our results confirm the advantages of our index to assess the predictability towards stock returns compared to two common existing measures of investor sentiment: survey-based Consumer Sentiment Index and market-based Baker & Wurgler index. To the best of our knowledge, this is the first study that presents this novel approach to capture the irrationalities of investors.
求助全文
通过发布文献求助,成功后即可免费获取论文全文。 去求助
来源期刊
CiteScore
7.30
自引率
2.20%
发文量
253
期刊介绍: The International Review of Economics & Finance (IREF) is a scholarly journal devoted to the publication of high quality theoretical and empirical articles in all areas of international economics, macroeconomics and financial economics. Contributions that facilitate the communications between the real and the financial sectors of the economy are of particular interest.
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
copy
已复制链接
快去分享给好友吧!
我知道了
右上角分享
点击右上角分享
0
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:604180095
Book学术官方微信