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The Impact of Investor Sentiment on Stock Returns

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Proceedings of the 7th International Conference on Economic Management and Green Development (ICEMGD 2023)

Part of the book series: Applied Economics and Policy Studies ((AEPS))

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Abstract

This paper constructs investor sentiment index for individual stocks according to the unique characteristic of the Chinese stock market by employing panel data. Based on that, we apply panel regression to this index to investigate the impact of investor sentiment on stock returns in the stock market in China during the period from 2013 to 2022. Empirical evidence demonstrates that the influence of investors’ sentiment is significantly positive. Further, we find that firms with small market value (small-cap stocks) tend to be more susceptible to investor sentiment than those with large market value (large-cap stocks). The results also show that there is a distinct difference in the impact of low investor sentiment and high level of investor sentiment on stock returns.

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Authors and Affiliations

  1. Central University of Finance and Economics, Beijing, 102206, China

    Xinran Fu

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  1. Xinran Fu
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Correspondence to Xinran Fu .

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Editors and Affiliations

  1. Department of Postal Management, Beijing University of Posts and Telecommunications, Beijing, China

    Xiaolong Li

  2. School of Economics and Management, Beijing University of Posts and Telecommunications, Beijing, China

    Chunhui Yuan

  3. Supply Chain Management, University of Arkansas, Fayetteville, NC, USA

    John Kent

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© 2024 The Author(s), under exclusive license to Springer Nature Singapore Pte Ltd.

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Fu, X. (2024). The Impact of Investor Sentiment on Stock Returns. In: Li, X., Yuan, C., Kent, J. (eds) Proceedings of the 7th International Conference on Economic Management and Green Development. ICEMGD 2023. Applied Economics and Policy Studies. Springer, Singapore. https://doi.org/10.1007/978-981-97-0523-8_125

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  • DOI: https://doi.org/10.1007/978-981-97-0523-8_125

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  • Publisher Name: Springer, Singapore

  • Print ISBN: 978-981-97-0522-1

  • Online ISBN: 978-981-97-0523-8

  • eBook Packages: Economics and FinanceEconomics and Finance (R0)

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