Can sentiment lead to something more?: A 2009-2016 empirical study establishing the relationship of market sentiment and stock market returns of 22 selected Philippine Stock Exchange blue-chip companies

Can sentiment lead to something more?: A 2009-2016 empirical study establishing the relationship of market sentiment and stock market returns of 22 selected Philippine Stock Exchange blue-chip companies

Market sentiment is the overall psychology of the market. It can be proxied by the widely used ARMS index. In this study, 22 consistent Philippine Stock Exchange blue-chip companies from 2009–2016 are used to analyze the factors affecting market sentiment and stock returns. Using OLS, results show...

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Bibliographic Details
Main Authors: Doria, Rolando Mari Q., Santos, Vladimir C.
Format: text
Language:English
Published: Animo Repository 2017
Subjects:
Stocks > Rate of return
Stock exchanges > Philippines
Finance and Financial Management
Online Access:https://animorepository.dlsu.edu.ph/etd_bachelors/14937
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Institution: De La Salle University
Language: English
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Summary:Market sentiment is the overall psychology of the market. It can be proxied by the widely used ARMS index. In this study, 22 consistent Philippine Stock Exchange blue-chip companies from 2009–2016 are used to analyze the factors affecting market sentiment and stock returns. Using OLS, results show that market sentiment does not affect stock returns, but stock returns affect market sentiment by an inverse factor of 7.66. Excess returns and volatility affect stock returns but not market sentiment.

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