The impact of investor sentiment on stock returns in emerging markets. The case of Central European markets

This is an accepted manuscript of an article published by Taylor & Francis in Eastern European Economics on July 2015, available online: http://dx.doi.org/10.1080/00128775.2015.1079139

Detalles Bibliográficos
Autores: Corredor Casado, María Pilar, Ferrer Zubiate, Elena, Santamaría Aquilué, Rafael
Tipo de recurso: artículo
Estado:Versión aceptada para publicación
Fecha de publicación:2015
País:España
Institución:Universidad Pública de Navarra
Repositorio:Academica-e. Repositorio Institucional de la Universidad Pública de Navarra
OAI Identifier:oai:academica-e.unavarra.es:2454/18660
Acceso en línea:https://academica-e.unavarra.es/handle/2454/18660
Access Level:acceso abierto
Palabra clave:Emerging stock markets
Investor sentiment
Behavioral finance
Contagion
Stock characteristics
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spelling The impact of investor sentiment on stock returns in emerging markets. The case of Central European marketsCorredor Casado, María PilarFerrer Zubiate, ElenaSantamaría Aquilué, RafaelEmerging stock marketsInvestor sentimentBehavioral financeContagionStock characteristicsThis is an accepted manuscript of an article published by Taylor & Francis in Eastern European Economics on July 2015, available online: http://dx.doi.org/10.1080/00128775.2015.1079139This paper studies the effect of investor sentiment on stock returns in three Central European markets: the Czech Republic, Hungary and Poland. The results show that sentiment is a key variable in the prices of stocks traded on these markets and its impact is stronger here than in more developed European markets. This effect is linked to stock characteristics, particularly those considered to make stocks more prone to the influences of investor sentiment. The evidence shows that the effect is not uniform across countries, since higher levels are found for Poland and the Czech Republic, thus confirming the role of country-specific factors in the impact of investor sentiment on stock prices. The results also confirm that sentiment is a twofold (global and local) phenomenon, in which the global dimension has much greater impact than the local dimension, at least in the markets considered. Finally, the paper has shown that sentiment does not spread, at least to any significant degree, through the movement of capital between markets. This strengthens the argument that sentiment is transmitted through a behavioral mechanism. If this argument proves correct, there is little likelihood of local regulatory action being very effective in limiting the perverse impact of asset bubbles.This paper has received financial support from the Spanish Ministry of Economy and Competitiveness (ECO2012-35946-C02-01).Taylor & FrancisGestión de EmpresasEnpresen Kudeaketa2015info:eu-repo/semantics/articleinfo:eu-repo/semantics/acceptedVersionapplication/pdfhttps://academica-e.unavarra.es/handle/2454/18660reponame:Academica-e. Repositorio Institucional de la Universidad Pública de Navarrainstname:Universidad Pública de NavarraInglésinfo:eu-repo/grantAgreement/MINECO//ECO2012-35946-C02-01© 2015 Taylor & Francisinfo:eu-repo/semantics/openAccessoai:academica-e.unavarra.es:2454/186602025-08-03T04:38:52Z
dc.title.none.fl_str_mv The impact of investor sentiment on stock returns in emerging markets. The case of Central European markets
title The impact of investor sentiment on stock returns in emerging markets. The case of Central European markets
spellingShingle The impact of investor sentiment on stock returns in emerging markets. The case of Central European markets
Corredor Casado, María Pilar
Emerging stock markets
Investor sentiment
Behavioral finance
Contagion
Stock characteristics
title_short The impact of investor sentiment on stock returns in emerging markets. The case of Central European markets
title_full The impact of investor sentiment on stock returns in emerging markets. The case of Central European markets
title_fullStr The impact of investor sentiment on stock returns in emerging markets. The case of Central European markets
title_full_unstemmed The impact of investor sentiment on stock returns in emerging markets. The case of Central European markets
title_sort The impact of investor sentiment on stock returns in emerging markets. The case of Central European markets
dc.creator.none.fl_str_mv Corredor Casado, María Pilar
Ferrer Zubiate, Elena
Santamaría Aquilué, Rafael
author Corredor Casado, María Pilar
author_facet Corredor Casado, María Pilar
Ferrer Zubiate, Elena
Santamaría Aquilué, Rafael
author_role author
author2 Ferrer Zubiate, Elena
Santamaría Aquilué, Rafael
author2_role author
author
dc.contributor.none.fl_str_mv Gestión de Empresas
Enpresen Kudeaketa
dc.subject.none.fl_str_mv Emerging stock markets
Investor sentiment
Behavioral finance
Contagion
Stock characteristics
topic Emerging stock markets
Investor sentiment
Behavioral finance
Contagion
Stock characteristics
description This is an accepted manuscript of an article published by Taylor & Francis in Eastern European Economics on July 2015, available online: http://dx.doi.org/10.1080/00128775.2015.1079139
publishDate 2015
dc.date.none.fl_str_mv 2015
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/acceptedVersion
format article
status_str acceptedVersion
dc.identifier.none.fl_str_mv https://academica-e.unavarra.es/handle/2454/18660
url https://academica-e.unavarra.es/handle/2454/18660
dc.language.none.fl_str_mv Inglés
language_invalid_str_mv Inglés
dc.relation.none.fl_str_mv info:eu-repo/grantAgreement/MINECO//ECO2012-35946-C02-01
dc.rights.none.fl_str_mv © 2015 Taylor & Francis
info:eu-repo/semantics/openAccess
rights_invalid_str_mv © 2015 Taylor & Francis
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Taylor & Francis
publisher.none.fl_str_mv Taylor & Francis
dc.source.none.fl_str_mv reponame:Academica-e. Repositorio Institucional de la Universidad Pública de Navarra
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collection Academica-e. Repositorio Institucional de la Universidad Pública de Navarra
repository.name.fl_str_mv
repository.mail.fl_str_mv
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