Dataset Information

Predictive effect of investor sentiment on current and future returns in emerging equity markets.

ABSTRACT: This study uses Non-linear Predictive Regression Analysis to analyze the effect of investor sentiment on the returns of the selected developing equity markets, including Brazil, South Africa, Indonesia, India, China, Russia, and Pakistan. The Principal Component Analysis is applied to construct an Investor Sentiment Index. In most selected countries, investor sentiment substantially affects contemporaneous market returns, and this effect remains persistent in the short term. However, it becomes less prominent over time. It suggests that stakeholders should give importance to the investors' sentiments while making investment decisions.

SUBMITTER: Andleeb R

PROVIDER: S-EPMC10194879 | biostudies-literature | 2023

REPOSITORIES: biostudies-literature

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Predictive effect of investor sentiment on current and future returns in emerging equity markets.

Andleeb Rameeza R Hassan Arshad A

PloS one 20230518 5

This study uses Non-linear Predictive Regression Analysis to analyze the effect of investor sentiment on the returns of the selected developing equity markets, including Brazil, South Africa, Indonesia, India, China, Russia, and Pakistan. The Principal Component Analysis is applied to construct an Investor Sentiment Index. In most selected countries, investor sentiment substantially affects contemporaneous market returns, and this effect remains persistent in the short term. However, it becomes ...[more]

PMID: 37200269

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Project description:Highlights • Spillovers, portfolio allocation and diversification potential of bank returns are examined.• Spillover index, tail-event driven network and nonlinear portfolio optimization are applied to bank returns data.• Spillovers among banks from emerging America are noticeably smaller than those from developed America.• The largest emerging market spillover transmitters and receivers are the banks from Brazil.• Portfolio of banks from emerging America offers greater diversification potential and lower portfolio allocation risk. We examine the network spillovers, portfolio allocation characteristics and diversification potential of bank returns from developed and emerging America. We draw our results by applying a directional spillover index, the tail-event driven network (TENET) and nonlinear portfolio optimization methods on bank returns. We find that the spillovers and connectedness among banks from emerging America are noticeably smaller than those among banks from developed America. The largest emerging market spillover transmitters and receivers are the banks from Brazil, followed by the banks from Chile. The largest developed market spillover transmitter is JP Morgan Chase. The connectedness among banks from developed America is dominated by the banks from the USA, relative to those from Canada. The total connectedness of the emerging market banks is more intensified than that of the banks from developed America due to the effect of the COVID-19 pandemic. The portfolio optimization shows that in developed America, the largest banks from the USA are the largest risk contributors to total portfolio risk, whereas the banks from Canada contribute the least risk. In emerging America, the banks from Brazil contribute the most risk to total portfolio risk while the banks from Peru and one bank from Colombia contribute the least risk. The portfolio of banks from emerging America offers greater diversification potential and lower total portfolio allocation risk.

Dataset Information

Predictive effect of investor sentiment on current and future returns in emerging equity markets.

Publications

Predictive effect of investor sentiment on current and future returns in emerging equity markets.

Similar Datasets

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