Journal
FINANCE RESEARCH LETTERS
Volume 26, Issue -, Pages 32-39Publisher
ACADEMIC PRESS INC ELSEVIER SCIENCE
DOI: 10.1016/j.frl.2017.11.008
Keywords
Sentiment; Stock returns; Emerging market; Wavelet analysis
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This article examines the relationship between investor sentiment and stock returns using the data from Indian stock market. We investigate the relationship using a broad set of implicit sentiment proxies and value-weighted market indices. The wavelet method has been used to decompose sentiment variables and stock returns into different timescale frequencies. We find a strong effect of sentiment on return both in the short-and long-run by employing decomposed returns and sentiment proxies at different time-scale frequencies, The study lends support to the fact that whether investors are short-term or long-term traders, their investments activities cannot be delinked from sentiment.
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