Journal article
Aggregate investor sentiment and stock return synchronicity
Journal of Banking & Finance, Vol.108, pp.1-19
2019
Abstract
We show that the returns of individual stocks become more synchronous with the aggregate market during periods of high investor sentiment. We also document that the effect of sentiment on stock return synchronicity is especially pronounced for small, young, volatile, non-dividend-paying and low-priced stocks. This ‘difference in difference’ suggests that stocks with these characteristics are affected more by sentiment—consistent with previous studies. Our results support the hypothesis that greater constraints on arbitrage and the prevalence of sentiment-driven demand during periods of high sentiment lead to increased comovement among stocks.
Details
- Title
- Aggregate investor sentiment and stock return synchronicity
- Authors
- Timothy K. Chue (Author) - Hong Kong Polytechnic UniversityFerdinand A. Gul (Author) - Deakin UniversityG. Mujtaba Mian (Author) - Zayed University
- Publication details
- Journal of Banking & Finance, Vol.108, pp.1-19
- Publisher
- Elsevier BV
- DOI
- 10.1016/j.jbankfin.2019.105628
- ISSN
- 1872-6372
- Organisation Unit
- School of Business and Creative Industries; University of the Sunshine Coast, Queensland
- Language
- English
- Record Identifier
- 99679192102621
- Output Type
- Journal article
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- Business, Finance
- Economics
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