The study provides the first evidence on the effect of investor sentiment on momentum profitability in Asia. A sample of 13 Asian countries is analysed over a period of 12 years from January 2000 to December 2011. We find that momentum arises only during optimistic and mild periods. Momentum is conspicuously absent for periods of pessimism. The evidence suggests that investors are detail oriented during pessimistic periods and thereby hinder the occurrence of momentum in the stock market. In addition to local sentiment, we also find that global sentiment affects momentum which affirms the contagious nature of sentiment. The results are robust to changes in sentiment period classification and use of alternative proxies. Moreover, we also find that the findings are unaffected after taking into consideration firm size and trading volume.
Keywords: Momentum, Sentiment, Global Sentiment, Asian markets
학회소식
[2012년 제 4차] Momentum and Investor Sentiment : Evidence from Asi
작성자 : 관리자
조회수 : 1051
게시일 :
2012-12-12
