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

• 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
• Institution: De La Salle University

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.