Arbeitspapier
Sentiment indices on financial markets: What do they measure?
Sentiment indices based on investor sentiment surveys attempt to measure the stock market sentiment. The literature on these indices focusses mainly on whether investor sentiment influences the financial markets or not. But the term 'sentiment' has never been defined in the literature. Therefore it is unclear what is measured by sentiment indices, whether it is really sentiment or something different. This paper closes this gap in the literature by using psychological definitions about feelings to explain what might be meant by 'market sentiment'. It shows how useful these definitions are with data from the German sentiment index 'Sentix'. The paper contributes to the current discussion in three ways: 1. It presents a simple concept of sentiments in general. 2. It relates short and long term sentiment indices to two distinct parts of sentiments, emotion and mood. 3. It extracts two factors representing investor emotion and mood across all markets in the dataset. These results are stable across markets and model specifications in the Sentix dataset.
- Sprache
-
Englisch
- Erschienen in
-
Series: Economics Discussion Papers ; No. 2013-58
- Klassifikation
-
Wirtschaft
Information and Market Efficiency; Event Studies; Insider Trading
- Thema
-
sentiment indices
investor sentiment
factor analysis
psychological analysis
financial markets
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Bormann, Sven-Kristjan
- Ereignis
-
Veröffentlichung
- (wer)
-
Kiel Institute for the World Economy (IfW)
- (wo)
-
Kiel
- (wann)
-
2013
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Bormann, Sven-Kristjan
- Kiel Institute for the World Economy (IfW)
Entstanden
- 2013
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