Investor sentiment or information content? A simple test for investor sentiment proxies

IF 3.8 3区 经济学 Q1 BUSINESS, FINANCE North American Journal of Economics and Finance Pub Date : 2024-06-19 DOI:10.1016/j.najef.2024.102222
Geul Lee , Doojin Ryu
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Abstract

This study suggests a simple test to assess the validity of employing a variable as an investor sentiment proxy by examining whether the variable exerts a long-run impact on prices. We also conduct the test using news sentiment indices for the U.S. and Korea, which represent a developed and influential market and a leading emerging market, respectively, as potential proxy variables. The test results, on the one hand, lead to a pessimistic view of employing news sentiment as a proxy for investor sentiment. On the other hand, the results also demonstrate a connection between news sentiment and investor sentiment, particularly in Korea. We suggest that a variable may not be appropriate as an investor sentiment proxy even when the variable is somewhat related to sentiment.

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投资者情绪还是信息内容?投资者情绪代用指标的简单测试
本研究提出了一个简单的检验方法,通过检验变量是否对价格产生长期影响,来评估采用变量作为投资者情绪替代变量的有效性。我们还使用了美国和韩国的新闻情绪指数作为潜在的替代变量进行检验,这两个市场分别代表了一个有影响力的发达市场和一个领先的新兴市场。一方面,检验结果使我们对使用新闻情绪作为投资者情绪的替代变量持悲观态度。另一方面,结果也证明了新闻情绪与投资者情绪之间的联系,尤其是在韩国。我们认为,即使变量与投资者情绪有一定关系,该变量也可能不适合作为投资者情绪的替代变量。
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来源期刊
CiteScore
7.30
自引率
8.30%
发文量
168
期刊介绍: The focus of the North-American Journal of Economics and Finance is on the economics of integration of goods, services, financial markets, at both regional and global levels with the role of economic policy in that process playing an important role. Both theoretical and empirical papers are welcome. Empirical and policy-related papers that rely on data and the experiences of countries outside North America are also welcome. Papers should offer concrete lessons about the ongoing process of globalization, or policy implications about how governments, domestic or international institutions, can improve the coordination of their activities. Empirical analysis should be capable of replication. Authors of accepted papers will be encouraged to supply data and computer programs.
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