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Investor sentiment effect in stock markets: Stock characteristics or country-specific factors?

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  • Corredor, Pilar
  • Ferrer, Elena
  • Santamaria, Rafael

Abstract

This paper analyzes the investor sentiment effect in four key European stock markets: France, Germany, Spain and the UK. The findings show that sentiment has a significant influence on returns, varying in intensity across markets. The variation appears to involve both stock characteristics and cross-country cultural or institutional differences. The results also show sensitivity to the choice of sentiment proxy, suggesting the need for further investigation.

Suggested Citation

  • Corredor, Pilar & Ferrer, Elena & Santamaria, Rafael, 2013. "Investor sentiment effect in stock markets: Stock characteristics or country-specific factors?," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 572-591.
    • Handle: RePEc:eee:reveco:v:27:y:2013:i:c:p:572-591
    DOI: 10.1016/j.iref.2013.02.001
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    More about this item

    Keywords

    Sentiment; Stock markets; Stock characteristics; Country-specific factors; European stock markets;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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