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Investor sentiment, trading behavior and stock returns
- Authors
- Ryu, Doojin; Kim, Hyeyoen; Yang, Heejin
- Issue Date
- 12-Jul-2017
- Publisher
- ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD
- Keywords
- Investor sentiment; investor trading behaviour; information asymmetry; trading volume; Korean stock market
- Citation
- APPLIED ECONOMICS LETTERS, v.24, no.12, pp 826 - 830
- Pages
- 5
- Journal Title
- APPLIED ECONOMICS LETTERS
- Volume
- 24
- Number
- 12
- Start Page
- 826
- End Page
- 830
- ISSN
- 1350-4851
1466-4291
- Abstract
- This article examines how investor sentiment and trading behaviour affect asset returns. By analysing the unique stock trading dataset of the Korean market, we find that high investor sentiment induces higher stock market returns. We also find that institutional (individual) trades are positively (negatively) associated with stock returns, suggesting the information superiority (inferiority) of institutional (individual) investors. Investor sentiment generally plays a more important role in explaining stock market returns than investor trading behaviour.
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