Investor's sentiments and stock market volatility: An empirical evidence from emerging stock market

Artikel

The concept of efficient market hypothesis has prevailed the financial markets for a long time which says that the prices of the securities reflect all available information. This approach was mainly followed by the rational investors but with the passage of time, the concept of behavioral finance emerged due to some of the major global financial crashes. This concept states that there are investors trading in the market making decisions on the basis of sentiments not on any fundamental information. Such class of traders is called the noise traders and they are mainly responsible for any disruption in the returns of the securities. In this paper we will try to find whether these sentiments of the investors affect the returns of the securities listed on the Karachi stock exchange. We will use the investor sentiment index that uses the six proxies the data on which has been collected mainly from the Karachi stock exchange. Volatility of the stock market returns will be calculated and regressed with the sentimental equation discussed above as the independent variable. This study will help us to find out the extent to which these sentiments influence the stock market returns in weak form efficient market and also it will help us to identify the presence of such irrational noise traders in our financial market.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Journal: Pakistan Journal of Commerce and Social Sciences (PJCSS) ; ISSN: 2309-8619 ; Volume: 7 ; Year: 2013 ; Issue: 1 ; Pages: 80-90 ; Lahore: Johar Education Society, Pakistan (JESPK)

Klassifikation und Themen

• Klassifikation: Wirtschaft
• Thema: Investor sentiments ; stock market volatility ; noise traders ; volatility ; stock market returns

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Ur Rehman, Mobeen
• Ereignis: Veröffentlichung
• (wer): Johar Education Society, Pakistan (JESPK)
• (wo): Lahore
• (wann): 2013

Weitere Informationen

• Handle: http://hdl.handle.net/10419/188075
• Letzte Aktualisierung: 10.03.2025, 11:41 MEZ