Affiliation:
1. University of Tübingen, Tübingen , Germany
Abstract
Abstract
We analyze the relationship of retail investor sentiment and the German stock market by introducing four distinct investor pessimism indices (IPIs) based on selected aggregate Google search queries. We assess the predictive power of weekly changes in sentiment captured by the IPIs for contemporaneous and future DAX returns, volatility and trading volume. The indices are found to have individually varying, but overall remarkably high explanatory power. An increase in retail investor pessimism is accompanied by decreasing contemporaneous market returns and an increase in volatility and trading volume. Future returns tend to increase while future volatility and trading volume decrease. The outcome is in line with the conjecture of correction effects. Overall, the results are well in line with modern investor sentiment theory.
Subject
Economics and Econometrics
Reference52 articles.
1. Market Liquidity as a Sentiment Indicator’,;Baker;Journal of Financial Markets,2004
2. Investor Sentiment and the Cross-Section of Stock Returns’,;Baker;Journal of Finance,2006
3. Investor Sentiment in the Stock Market’,;Baker;Journal of Economic Perspectives,2007
4. Google Search Volume and Its Influence on Liquidity and Returns’,;Bank;Financial Markets and Portfolio Management,2011
5. Do Retail Trades Move Markets?’,;Barber;Review of Financial Studies,2009
Cited by
29 articles.
订阅此论文施引文献
订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献