The empirical study about international investor sentiment and its impact on the U.S. stock market
(2024) NEKN02 20241Department of Economics
- Abstract (Swedish)
- Based on behavioural finance theory and stock market data, this paper studies the contagion
of investor sentiment in international markets and its impact o n the US stock market . We use monthly data on four indicators (business confidence index, consumer confidence index, the volume of initial public offerings, and trading volume) for eight countries (the United States, Canada, China, Japan, Germany, the United Kingdom, India, and Brazil) from January 2013 to December 2023, we build a composite index to measure investor sentiment within the region through principal component analysis and classify it into an international investor sentiment index and local investor sentiment index, and the analysis found that the investor sentiment... (More) - Based on behavioural finance theory and stock market data, this paper studies the contagion
of investor sentiment in international markets and its impact o n the US stock market . We use monthly data on four indicators (business confidence index, consumer confidence index, the volume of initial public offerings, and trading volume) for eight countries (the United States, Canada, China, Japan, Germany, the United Kingdom, India, and Brazil) from January 2013 to December 2023, we build a composite index to measure investor sentiment within the region through principal component analysis and classify it into an international investor sentiment index and local investor sentiment index, and the analysis found that the investor sentiment indicators of different countries show some synchronisation, especially in countries with close economic ties. After further analysing the Vector Autoregressive (VAR) model for the International Investor Sentiment Index and the S&P500 return of the US stock market, we find that for t he US market, stock returns are mainly driven by changes in international investor sentiment, while international sentiment only affects stock returns with a long lag and has little effect in the short term. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/9173962
- author
- Xu, Siyi LU and Dou, Yanling LU
- supervisor
- organization
- course
- NEKN02 20241
- year
- 2024
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- Investor Sentiment, Principal Component Analysis, Contagious Global Sentiment,Vector Autoregressive (VAR) model
- language
- English
- id
- 9173962
- date added to LUP
- 2024-10-01 13:13:29
- date last changed
- 2024-10-01 13:13:29
@misc{9173962, abstract = {{Based on behavioural finance theory and stock market data, this paper studies the contagion of investor sentiment in international markets and its impact o n the US stock market . We use monthly data on four indicators (business confidence index, consumer confidence index, the volume of initial public offerings, and trading volume) for eight countries (the United States, Canada, China, Japan, Germany, the United Kingdom, India, and Brazil) from January 2013 to December 2023, we build a composite index to measure investor sentiment within the region through principal component analysis and classify it into an international investor sentiment index and local investor sentiment index, and the analysis found that the investor sentiment indicators of different countries show some synchronisation, especially in countries with close economic ties. After further analysing the Vector Autoregressive (VAR) model for the International Investor Sentiment Index and the S&P500 return of the US stock market, we find that for t he US market, stock returns are mainly driven by changes in international investor sentiment, while international sentiment only affects stock returns with a long lag and has little effect in the short term.}}, author = {{Xu, Siyi and Dou, Yanling}}, language = {{eng}}, note = {{Student Paper}}, title = {{The empirical study about international investor sentiment and its impact on the U.S. stock market}}, year = {{2024}}, }