Facial reconstruction

Search LJMU Research Online

Browse Repository | Browse E-Theses

Is investor sentiment contagious? International sentiment and UK equity returns

Hudson, Y (2015) Is investor sentiment contagious? International sentiment and UK equity returns. Journal of Behavioral and Experimental Finance, 5. pp. 46-59. ISSN 2214-6369

[img] Text
Is investor sentiment contagious.pdf - Accepted Version
Available under License Creative Commons Attribution Non-commercial No Derivatives.

Download (759kB)


This paper contributes to a growing body of literature studying investor sentiment. Separate sentiment measures for UK investors and UK institutional investors are constructed from commonly cited sentiment indicators using the first principle component method. We then examine if the sentiment measures can help predict UK equity returns, distinguishing between “turbulent” and “tranquil” periods in the financial markets. We find that sentiment tends to be a more important determinant of returns in the run-up to a crisis than at other times. We also examine if US investor sentiment can help predict UK equity returns, and find that US investor sentiment is highly significant in explaining the UK equity returns.

Item Type: Article
Subjects: H Social Sciences > HG Finance
H Social Sciences > HJ Public Finance
Divisions: Liverpool Business School (closed 31 Aug 19)
Publisher: Elsevier
Date Deposited: 27 Apr 2016 10:23
Last Modified: 18 May 2022 09:25
DOI or Identification number: 10.1016/j.jbef.2015.02.004
URI: https://researchonline.ljmu.ac.uk/id/eprint/3529

Actions (login required)

View Item View Item