Abstract
This article examines how investor sentiment and trading behaviour affect asset returns. By analysing the unique stock trading dataset of the Korean market, we find that high investor sentiment induces higher stock market returns. We also find that institutional (individual) trades are positively (negatively) associated with stock returns, suggesting the information superiority (inferiority) of institutional (individual) investors. Investor sentiment generally plays a more important role in explaining stock market returns than investor trading behaviour.
| Original language | English |
|---|---|
| Pages (from-to) | 826-830 |
| Number of pages | 5 |
| Journal | Applied Economics Letters |
| Volume | 24 |
| Issue number | 12 |
| DOIs | |
| State | Published - 12 Jul 2017 |
Keywords
- information asymmetry
- Investor sentiment
- investor trading behaviour
- Korean stock market
- trading volume