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Momentum and Investor Sentiment: Evidence from Asian Stock Markets

Author

Listed:
  • Shangkari V. Anusakumar

    (School of Management, Universiti Sains Malaysia, Malaysia.)

  • Ruhani Ali

    (Graduate School of Business, Universiti Sains Malaysia, Malaysia.)

Abstract

We investigate whether investor sentiment affects momentum profitability using a sample of 13 Asian countries: Bangladesh, China, Hong Kong, India, Indonesia, Japan, Malaysia, Pakistan, Philippines, Singapore, South Korea, Taiwan and Thailand. We find that momentum arises only during optimistic and mild periods. Momentum is absent for periods of pessimism. This suggests that investors are detail oriented during pessimistic periods and thereby hinder the occurrence of momentum in the stock market. We also find that global sentiment affects momentum which affirms the contagious nature of sentiment. In addition, the findings indicate that holding period sentiment also affects momentum. The results are robust to changes in sentiment period classification and the use of alternative proxies for investor sentiment.

Suggested Citation

  • Shangkari V. Anusakumar & Ruhani Ali, 2017. "Momentum and Investor Sentiment: Evidence from Asian Stock Markets," Capital Markets Review, Malaysian Finance Association, vol. 25(1), pages 26-42.
    • Handle: RePEc:mfa:journl:v:25:y:2017:i:1:p:26-42
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    References listed on IDEAS

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    More about this item

    Keywords

    Momentum; investor sentiment; global sentiment; Asia; optimism.;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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