IDEAS home Printed from https://ideas.repec.org/a/asi/ajoerj/v7y2017i7p147-159id3984.html
   My bibliography  Save this article

Exploring Relation between Indian Market Sentiments and Stock Market Returns

Author

Listed:
  • Divya Aggarwal

Abstract

This paper aims to understand the relation between contemporaneous stock market returns and investor sentiments in Indian context. The analysis is done for daily data over a range of five years. Market measure proxies of investor sentiments including the market mood index and the volatility index are examined to explore their nature of association with the stock market returns. The results show that changes in sentiments have a higher explanatory power than sentiments at level when determining statistically significant relation with stock market returns. While the market mood index indicating optimism is positively related with stock returns, the VIX index also referred to as the fear guard index has a negative relation with stock returns. Moreover the market mood index seems to granger cause stock market returns and exhibit a long run association with stock market returns. With presence of sentiments impacting stock market returns established, more studies in context of developing countries are needed to understand the temporal dynamics between sentiments and stock markets.

Suggested Citation

  • Divya Aggarwal, 2017. "Exploring Relation between Indian Market Sentiments and Stock Market Returns," Asian Journal of Empirical Research, Asian Economic and Social Society, vol. 7(7), pages 147-159.
    • Handle: RePEc:asi:ajoerj:v:7:y:2017:i:7:p:147-159:id:3984
    as

    Download full text from publisher

    File URL: https://archive.aessweb.com/index.php/5004/article/view/3984/6270
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Aneeta Elsa Simon & Manu K.S., 2023. "Does Sentiments Impact the Returns of Commodity Derivatives? An Evidence from Multi-commodity Exchange India," Vision, , vol. 27(1), pages 79-92, February.
    2. Kelvin Mutum, 2020. "Volatility Forecast Incorporating Investors’ Sentiment and its Application in Options Trading Strategies: A Behavioural Finance Approach at Nifty 50 Index," Vision, , vol. 24(2), pages 217-227, June.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:asi:ajoerj:v:7:y:2017:i:7:p:147-159:id:3984. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Robert Allen (email available below). General contact details of provider: https://archive.aessweb.com/index.php/5004/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.