The impact of sentiment on emerging stock markets

Authors

Abhinav Anand
Sankarshan Basu
Jalaj Pathak
Ashok Thampy

Document Type

Working Paper

Abstract

For five leading emerging economies: China, India, Russia, Indonesia and South Korea, we show that existing sentiment variables-both direct (Consumer Confidence Index) and indirect (Baker-Wurgler Index)-are insignificant in explaining respective nations' index returns. We improve upon current techniques by using modified sentiment extraction as proposed in Anand et al. [2020] to study the impact of central bank speech sentiment on respective stock market indices. We find that central bank speeches do have a significant impact on the stock markets in our sample of emerging countries.

Publication Date

1-4-2020

Publisher

Indian Institute of Management Bangalore

Pagination

39p.

Recommended Citation

Anand, Abhinav; Basu, Sankarshan; Pathak, Jalaj; and Thampy, Ashok, "The impact of sentiment on emerging stock markets" (2020). Working Papers. 584.
https://research.iimb.ac.in/work_papers/584

Relation

IIMB Working Paper-625