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Research Article

Does sentiment determine investor trading behaviour?

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ABSTRACT

Sentiment is a determinant of investors’ trading decisions and behaviours. After a sentiment shock, investors’ net positions change differently across investor types. In response to a sentiment change, individual (institutional) investors follow a positive (negative) feedback strategy, reflecting their different trading and investment purposes.

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Disclosure statement

No potential conflict of interest was reported by the authors.

Notes

1 Korean companies disclose their annual financial statements in March. Our sample therefore includes the most recent financial information available in the market.

2 Foreign investors mostly consist of foreign institutions. The proportion of foreign individual investors is negligible.

3 For a robustness check, we incorporate the industrial production index and dividend yields into our regression model to control for potential macroeconomic effects on the next-period trading decisions of each investor type. The results are consistent with those in .

Additional information

Funding

This work was supported by the National Research Foundation of Korea (NRF) grant funded by the Korea government (MSIT; Ministry of Science and ICT) [2019R1G1A1100196].

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