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When stock return synchronicity meets investor sentiment

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  • Li, Xiao
  • Xing, Yao

Abstract

We examine the sentiment-synchronicity relationship in the Chinese stock market and find that investor sentiment has a significantly positive impact on the stock return synchronicity. Besides, the effect is more pronounced for young, small, volatile, and low-priced stocks. These findings are robust to alternative model specifications, an alternative sentiment proxy, and subperiod analysis.

Suggested Citation

  • Li, Xiao & Xing, Yao, 2023. "When stock return synchronicity meets investor sentiment," Finance Research Letters, Elsevier, vol. 53(C).
    • Handle: RePEc:eee:finlet:v:53:y:2023:i:c:s1544612323000296
    DOI: 10.1016/j.frl.2023.103655
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