How Investor Sentiments Spillover From Developed Countries to Developing Countries?

Zia Ur Rehman, M., ul Abidin, Z., Rizwan, F., Abbas, Z., & Baig, S. A., How investor sentiments spillover from developed countries to developing countries?. Cogent Economics & Finance, 5(1), 1309096, 2017

17 Pages Posted: 21 Dec 2019

See all articles by Dr. Muhammad Zia ur Rehman

Dr. Muhammad Zia ur Rehman

National Textile University, Faisalabad; International Islamic University, Islamabad

Zain ul Abidin

National Textile University - Department of Management Sciences

Faisal Rizwan

International Islamic University, Islamabad - Department of Management Sciences

Zaheer Abbas

International Islamic University

Sajjad Baig

National Textile University

Date Written: 2017

Abstract

This paper applies a sentiment index to check the influence of regional developed countries like Japan and Germany on the sentiments in regional developing countries like Pakistan and Turkey, respectively. The index has been created using a principal component approach with modified proxies. The results indicate that there is a significant influence of developed markets on developing markets also the sentiment index created in this study is good indicator regarding the return pattern of the stock exchange. This study has followed the footsteps of previous studies for methodology and the time period which is used ranged from 29 December 2004 to 31 December 2014. The weekly data has been collected with Wednesday prices so to avoid the white noise, start-of-the week and end-of-the week effect.

Keywords: Investor Sentiments, Investor Sentiment Index, STURN, RSI, MFI, IBOR, Foreign Markets

JEL Classification: B26

Suggested Citation

Zia ur Rehman, Muhammad and Abidin, Zain ul and Rizwan, Faisal and Abbas, Zaheer and Baig, Sajjad, How Investor Sentiments Spillover From Developed Countries to Developing Countries? (2017). Zia Ur Rehman, M., ul Abidin, Z., Rizwan, F., Abbas, Z., & Baig, S. A., How investor sentiments spillover from developed countries to developing countries?. Cogent Economics & Finance, 5(1), 1309096, 2017, Available at SSRN: https://ssrn.com/abstract=3498467

Muhammad Zia ur Rehman (Contact Author)

National Textile University, Faisalabad ( email )

Sheikhupura Road, Faisalabad
Faisalabad, Punjab 38000
Pakistan

International Islamic University, Islamabad ( email )

Islamabad, 44000
Pakistan

Zain ul Abidin

National Textile University - Department of Management Sciences ( email )

Pakistan

Faisal Rizwan

International Islamic University, Islamabad - Department of Management Sciences ( email )

Pakistan

Zaheer Abbas

International Islamic University ( email )

Pakistan

Sajjad Baig

National Textile University ( email )

National Textile University
Faisalabad, Punjab 38000
Pakistan

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