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JOURNAL OF ACCOUNTING AND FINANCE
Predicting Stock Market Returns and Volatility with Investor Sentiment:
Evidence from Eight Developed Countries
Author(s): Jerry C. Ho, Chi-Hsiou Hung
Citation: Jerry C. Ho, Chi-Hsiou Hung, (2012) "Predicting Stock Market Returns and Volatility with Investor Sentiment: Evidence from Eight Developed Countries," Journal of Accounting and Finance, Vol. 12, Iss. 4, pp. 49 - 65
Article Type: Research paper
Publisher: North American Business Press
Abstract:
We test the predictive ability of investor sentiment on the return and volatility at the aggregate market level in the U.S., four largest European countries and three Asia-Pacific countries. We find that in the U.S., France and Italy periods of high consumer confidence levels are followed by low market returns. In Japan both the level and the change in consumer confidence boost the market return in the next month. Further, shifts in sentiment significantly move conditional volatility in most of the countries, and in Italy such impacts lead to an increase in returns by 4.7% in the next month.
