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Applied Financial Economics Volume 18, 2008 - Issue 16
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Original Articles

The impact of rational and irrational sentiments of individual and institutional investors on DJIA and S&P500 index returns

Rahul Verma College of Business, University of Houston-Downtown, Houston, TX 77002, USACorrespondence[email protected]
,
Hasan Baklaci Department of International Trade and Finance, Izmir University of Economics, Izmir, Turkey
&
Gökçe Soydemir College of Business Administration, University of Texas-Pan American, Edinburg, TX 78541, USA
Pages 1303-1317 | Published online: 29 Jul 2008

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Jiancheng Shen, John Griffith, Mohammad Najand & Licheng Sun. (2023) Predicting Stock and Bond Market Returns with Emotions: Evidence from Futures Markets. Journal of Behavioral Finance 24:3, pages 333-344.
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Wei Fong Pok, M. Humayun Kabir & Martin Young. (2023) Media content, sentiment and emerging market futures returns. Applied Economics 55:7, pages 724-749.
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Mobeen Ur Rehman, Ibrahim D. Raheem, Abdel Razzaq Al Rababa’a, Nasir Ahmad & Xuan Vinh Vo. (2022) Reassessing the Predictability of the Investor Sentiments on US Stocks: The Role of Uncertainty and Risks. Journal of Behavioral Finance 0:0, pages 1-16.
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John Griffith, Mohammad Najand & Jiancheng Shen. (2020) Emotions in the Stock Market. Journal of Behavioral Finance 21:1, pages 42-56.
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Zhifang He, Linjie He & Fenghua Wen. (2019) Risk Compensation and Market Returns: The Role of Investor Sentiment in the Stock Market. Emerging Markets Finance and Trade 55:3, pages 704-718.
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Nicholas Apergis & Mobeen Ur Rehman. (2018) Is CAPM a Behavioral Model? Estimating Sentiments from Rationalism. Journal of Behavioral Finance 19:4, pages 442-449.
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Paulo Horta & Júlio Lobão. (2018) Global and Extreme Dependence Between Investor Sentiment and Stock Returns in European Markets. Journal of Behavioral Finance 19:2, pages 141-158.
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Carla Fernandes, Paulo M. Gama & Elisabete Vieira. (2016) Does local and Euro area sentiment matter for sovereign debt markets? Evidence from a bailout country. Applied Economics 48:9, pages 816-834.
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David W. Johnk & Gökçe Soydemir. (2015) Time-Varying Market Price of Risk and Investor Sentiment: Evidence from a Multivariate GARCH Model. Journal of Behavioral Finance 16:2, pages 105-119.
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Wan-Ru Yang & Yi-Ling Chen. (2015) The Response of Dynamic Herd Behavior to Domestic and U.S. Market Factors: Evidence from the Greater China Stock Markets. Emerging Markets Finance and Trade 51:sup1, pages S18-S41.
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Changha Jin, Gökçe Soydemir & Alan Tidwell. (2014) The U.S. Housing Market and the Pricing of Risk: Fundamental Analysis and Market Sentiment. Journal of Real Estate Research 36:2, pages 187-220.
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Carla Manuela da Assunção Fernandes, Paulo Miguel Marques Gama Gonçalves & Elisabete Fátima Simões Vieira. (2013) Does Sentiment Matter for Stock Market Returns? Evidence from a Small European Market. Journal of Behavioral Finance 14:4, pages 253-267.
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Jing-Ming Kuo, Jerry Coakley & Andrew Wood. (2010) The lunar moon festival and the dark side of the moon. Applied Financial Economics 20:20, pages 1565-1575.
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Sharneet Singh Jagirdar & Pradeep Kumar Gupta. (2023) Value and Contrarian Investment Strategies: Evidence from Indian Stock Market. Journal of Risk and Financial Management 16:2, pages 113.
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Tseng‐Chan Tseng, Hung‐Cheng Lai & Jih‐Kuang Chen. (2022) Impacts of relatively rational and irrational investor sentiment on realized volatility. Asian Economic Journal 36:4, pages 458-478.
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Chanapol Pornpikul & Sampan Nettayanun. (2021) Stock return drivers: a mix of reasons and emotions. Review of Behavioral Finance 14:5, pages 751-771.
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Pedro M. Nogueira Reis. (2022) Determinants of Qualified Investor Sentiment during the COVID-19 Pandemic in North America, Asia, and Europe. Economies 10:6, pages 143.
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Zuzana Gric, Dominika Ehrenbergerova & Martin Hodula. (2022) The power of sentiment: Irrational beliefs of households and consumer loan dynamics. Journal of Financial Stability 59, pages 100973.
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Esra BULUT, Seval AKBULUT BEKAR & Gülay ÇİZGİCİ AKYÜZ. (2021) Media-Coverage-Related Investor Sentiment during the COVID-19 Pandemic. Ege Akademik Bakis (Ege Academic Review), pages 357-372.
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Pedro Manuel Nogueira Reis & Carlos Pinho. 2021. Pandemics and Travel. Pandemics and Travel 121 139 .
mohammad tohidi. (2020) Measuring the Effect of Noise Trading on Bubbles in Tehran Stock Exchange. Journal of Economic Modeling Research 11:42, pages 51-81.
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Pedro Manuel Nogueira Reis & Carlos Pinho. (2020) COVID-19 and investor sentiment influence on the US and European countries sector returns. Investment Management and Financial Innovations 17:3, pages 373-386.
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YONG-CHIN LIU, HSIANG-JU CHEN & WEI-TING HSU. (2020) PRIOR TRADING OUTCOMES AND SUBSEQUENT PORTFOLIO RISKS: USING SECURITIES DEALER IN TAIWAN AS AN EXAMPLE. Annals of Financial Economics 15:03, pages 2050012.
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Efe Caglar Cagli, Zeliha Can Ergün & M. Banu Durukan. (2020) The causal linkages between investor sentiment and excess returns on Borsa Istanbul. Borsa Istanbul Review 20:3, pages 214-223.
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Niall O’Sullivan, Sheng Zhu & Jason Foran. (2019) Sentiment versus liquidity pricing effects in the cross-section of UK stock returns. Journal of Asset Management 20:4, pages 317-329.
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Chiara Limongi Concetto & Francesco Ravazzolo. (2019) Optimism in Financial Markets: Stock Market Returns and Investor Sentiments. Journal of Risk and Financial Management 12:2, pages 85.
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Mehwish Khan & Eatzaz Ahmad. (2018) Measurement of Investor Sentiment and Its Bi-Directional Contemporaneous and Lead–Lag Relationship with Returns: Evidence from Pakistan. Sustainability 11:1, pages 94.
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Daniel Perez-ListonDaniel Huerta-SanchezJuan Gutierrez. (2018) Do Domestic Sentiment and the Spillover of US Investor Sentiment Impact Mexican Stock Market Returns?. Journal of Emerging Market Finance 17:2_suppl, pages S185-S212.
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Mehmet Balcilar, Rangan Gupta & Clement Kyei. (2018) PREDICTING STOCK RETURNS AND VOLATILITY WITH INVESTOR SENTIMENT INDICES: A RECONSIDERATION USING A NONPARAMETRIC CAUSALITY-IN-QUANTILES TEST. Bulletin of Economic Research 70:1, pages 74-87.
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Sidika Gulfem Bayram. (2017) Rational–Irrational Investor Sentiments and Emerging Stock Market Returns: A Comparison from Turkey. Journal of Emerging Market Finance 16:3, pages 219-245.
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Semra T. Altuntaş, Vedat Sarikovanlik & Nertil Mera. (2017) Beklentiler Ve Güven Endekslerinin Finansal Piyasalar Üzerine Etkisi. Muhasebe ve Finansman Dergisi:Temmuz 2017 (Özel Sayı), pages 142-151.
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Andres Bello, Jan Smolarski, Gökçe Soydemir & Linda Acevedo. (2017) Investor behavior: hedge fund returns and strategies. Review of Behavioral Finance 9:1, pages 14-42.
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Subramanian Rama Iyer & Joel T. Harper. (2017) Cash flow volatility and investor sentiment. Managerial Finance 43:2, pages 178-192.
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Daniel Perez Liston. (2016) Sin stock returns and investor sentiment. The Quarterly Review of Economics and Finance 59, pages 63-70.
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Mustafa Sayim & Hamid Rahman. (2015) The relationship between individual investor sentiment, stock return and volatility. International Journal of Emerging Markets 10:3, pages 504-520.
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Mustafa Sayim & Hamid Rahman. (2015) An examination of U.S. institutional and individual investor sentiment effect on the Turkish stock market. Global Finance Journal 26, pages 1-17.
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Bartosz Gebka. 2014. Recent Advances in Estimating Nonlinear Models. Recent Advances in Estimating Nonlinear Models 281 299 .
Ryuichi Yamamoto & Hideaki Hirata. (2013) Strategy switching in the Japanese stock market. Journal of Economic Dynamics and Control 37:10, pages 2010-2022.
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Jördis Hengelbrock, Erik Theissen & Christian Westheide. (2013) Market Response to Investor Sentiment. Journal of Business Finance & Accounting 40:7-8, pages 901-917.
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Thomas Lux. (2010) Sentiment dynamics and stock returns: the case of the German stock market. Empirical Economics 41:3, pages 663-679.
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Markus Glaser, Philipp Schmitz & Martin Weber. (2009) Individual Investor Sentiment and Stock Returns - What Do We Learn from Warrant Traders?. SSRN Electronic Journal.
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Pedro Nogueira Reis & Carlos Pinho. (2020) COVID-19 and Investor Sentiment Influence on Country and Sector Returns. SSRN Electronic Journal.
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Daniel Perez-Liston, Daniel Huerta & Juan Gutierrez. (2015) Do Domestic Sentiment and the Spillover of U.S. Investor Sentiment Impact Mexican Stock Market Returns?. SSRN Electronic Journal.
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Ryuichi Yamamoto & Hideaki Hirata. (2012) Strategy Switching in the Japanese Stock Market. SSRN Electronic Journal.
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Andres Bello, Gokce Soydemir & Jan M. Smolarski. (2011) Investor Behavior, Hedge Fund Returns and Strategies. SSRN Electronic Journal.
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Caterina Lucarelli, Maria Elena Bontempi & Camilla Mazzoli. (2010) Pre-Trade Transparency and Trade Size. SSRN Electronic Journal.
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