Empirical measures of symmetry of market sentiments

The analysis of asset return series of equity prices and stock indices is a well-researched problem tackled by economists, business and financial analysts in the last few decades. It has captured the fancy of financial economists, global and local portfolio investment consultants, foreign investment institutions and the trading man in the street. In this paper a strong case is made to follow a new approach for any investor to foray into an unknown stock market. This approach is the market sentiment approach. We introduce the concept of market sentiments, their definitions and different constructs one may propose vis-a-vis asset return series. We formulate several concepts of symmetry of market sentiments and propose empirical measures to validate such types of symmetric market sentiments. The efficacies of these measures are evaluated using extensive simulation studies and the efficient measures are identified. As an application, we explore the nature of absolute market sentiments that prevailed in weekly mean asset returns of two domestic companies registered in Botswana Stock Exchange during the trading period: 4 January 2016 to 30 December 2016. Our analysis indicates that both companies are characterised by the presence of complete symmetric absolute market sentiments.