Predicting Stock Market Returns and Volatility with Investor Sentiment: Evidence from Eight Developed Countries

27 Pages Posted: 15 Jun 2013

See all articles by Jerry C. Ho

Jerry C. Ho

Queensland University of Technology - School of Economics and Finance

Chi-Hsiou Daniel Hung

University of Glasgow - Adam Smith Business School

Date Written: January 1, 2012

Abstract

We test the predictive ability of investor sentiment on the return and volatility at the aggregate market level in the U.S., four largest European countries and three Asia-Pacific countries. We find that in the U.S., France and Italy periods of high consumer confidence levels are followed by low market returns. In Japan both the level and the change in consumer confidence boost the market return in the next month. Further, shifts in sentiment significantly move conditional volatility in most of the countries, and in Italy such impacts lead to an increase in returns by 4.7% in the next month.

Suggested Citation

Ho, Jerry Chienwei and Hung, Chi-Hsiou Daniel, Predicting Stock Market Returns and Volatility with Investor Sentiment: Evidence from Eight Developed Countries (January 1, 2012). Available at SSRN: https://ssrn.com/abstract=2279339 or http://dx.doi.org/10.2139/ssrn.2279339

Jerry Chienwei Ho

Queensland University of Technology - School of Economics and Finance ( email )

GPO Box 2434
2 George Street
Brisbane, Queensland 4001
Australia

Chi-Hsiou Daniel Hung (Contact Author)

University of Glasgow - Adam Smith Business School ( email )

Gilbert Scott Building
University of Glasgow
Glasgow, Scotland G12 8QQ
United Kingdom

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