Sentiment and Stock Characteristics: Comprehensive Study of Individual Investor Influence on Returns, Volatility, and Trading Volumes
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F24%3A10256104" target="_blank" >RIV/61989100:27510/24:10256104 - isvavai.cz</a>
Result on the web
<a href="https://doi.org/10.2478/bsrj-2024-0018" target="_blank" >https://doi.org/10.2478/bsrj-2024-0018</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.2478/bsrj-2024-0018" target="_blank" >10.2478/bsrj-2024-0018</a>
Alternative languages
Result language
angličtina
Original language name
Sentiment and Stock Characteristics: Comprehensive Study of Individual Investor Influence on Returns, Volatility, and Trading Volumes
Original language description
Background Traditional asset pricing models face challenges from financial anomalies, prompting exploration through behavioural finance theory. This study analyses the nuanced relationship between individual investor sentiment and key stock market variables.Objectives To assess the impact of individual investor sentiment on stock returns, volatilities, and trading volumes using the American Association of Individual Investors (AAII) sentiment index.Methods/Approach Using regression models, we examine the relationship between individual investor sentiment and various stock characteristics across 480 components of the Standard & Poor's 500 index.Results We find a positive relationship between the AAII sentiment index and stock returns and a negative relationship with volatility and trading volume.Conclusions Our study contributes to understanding the intricate role of individual investor sentiment in financial markets.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50206 - Finance
Result continuities
Project
<a href="/en/project/GA23-06280S" target="_blank" >GA23-06280S: New approaches to forecasting of financial time series within fuzzy-probabilistic setting</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2024
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Business Systems Research Journal
ISSN
1847-8344
e-ISSN
1847-9375
Volume of the periodical
15
Issue of the periodical within the volume
2
Country of publishing house
HR - CROATIA
Number of pages
16
Pages from-to
67-82
UT code for WoS article
001337297600004
EID of the result in the Scopus database
2-s2.0-85207392366