Islamic index market sentiment: evidence from the ASEAN market

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Nevi Danila ◽  
Kamilah Kamaludin ◽  
Sheela Sundarasen ◽  
Bunyamin Bunyamin
Keyword(s):  
Investor Sentiment ◽  
Stock Index ◽  
Investment Strategies ◽  
Noise Traders ◽  
Muslim Population ◽  
Content Type ◽  
Market Sentiment ◽  
Fund Managers ◽  
Asean Countries ◽  
The Impact

Purpose The purpose of this paper is to examine investor sentiment by measuring the impact of market sentiment shocks on the volatility of the Islamic stock index of five ASEAN countries, with noise traders as a proxy for market sentiment. Design/methodology/approach The GJR-GARCH model is used to capture the empirically observed fact that negative shocks in the past period have a stronger impact on variance than positive shocks in the present. Findings All five ASEAN Islamic stock indices show clustering volatility. However, only three countries, namely, Malaysia, Thailand and Singapore, demonstrate leverage effects. In addition, the effect of market sentiment on Islamic stock index returns is observed in the Indonesian and Malaysian markets, which are the two largest Islamic markets with a dominant Muslim population in the ASEAN. This finding implies that the trading behaviours of Muslim investors in the Shariah market are the same as their behaviours in the conventional market, that is, nonadherence to the Sunnah. Practical implications Whilst establishing investment strategies, creating portfolios and providing client-advisory services, investors and fund managers should factor in the presence of market sentiment and its impact on stock performance and volatility. In addition, a capital market system preventing rumour-based transactions is compelling. Social implications In some markets, the Islamic financial products awareness should be increased through education to attract increased domestic investors with the potential to boost growth in the Islamic stock market. Originality/value Investigation market sentiment impacts on the Islamic stock index using noise traders as a proxy.

Do FEARS drive Bitcoin?

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Tobias Burggraf ◽  
Toan Luu Duc Huynh ◽  
Markus Rudolf ◽  
Mei Wang
Keyword(s):  
Job Search ◽  
Investor Sentiment ◽  
Efficient Market Hypothesis ◽  
Entropy Model ◽  
Content Type ◽  
Household Level ◽  
Market Sentiment ◽  
Search Volume ◽  
Available Information ◽  
The Impact

PurposeThis study examines the prediction power of investor sentiment on Bitcoin return.Design/methodology/approachWe construct a Financial and Economic Attitudes Revealed by Search (FEARS) index using search volume from Google's search engine to reveal household-level (“bankruptcy”, “unemployment”, “job search”, etc.) and market-level sentiment (“bankruptcy”, “unemployment”, “job search”, etc.).FindingsUsing a variety of quantitative methodologies such as the transfer entropy model as well as threshold regression and OLS, GLS and 2SLS estimations, we find that (1) investor sentiment has strong predictive power on Bitcoin, (2) household-level sentiment has larger effects than market-level sentiment and (3) the impact of sentiment is greater in low sentiment regimes than in high sentiment regimes. Based on these information, we build a hypothetical trading strategy that outperforms a simple buy-and-hold strategy both on an absolute and risk-adjusted basis. The results are consistent across cryptocurrencies and regions.Research limitations/implicationsThe findings contribute to the ongoing debate in the literature on the efficiency of cryptocurrency markets. The results reveal that the Bitcoin market is not efficient in the sense of the efficient market hypothesis – asset prices do not fully reflect all available information and we were able to “beat the market”. In addition, it sheds further light on the debate whether Bitcoin can be considered a medium of exchange, i.e. a currency or an investment product. Because investors are reallocating their Bitcoin holdings during times of increased market sentiment due to liquidity needs, they obviously consider bitcoin an investment product rather than a currency.Originality/valueThis study is the first to examine the impact of investor sentiment measured by FEARS on Bitcoin return.

Influence of individual investor sentiment on Taiwan option prices during 2007-2010 financial crisis

2015 ◽  
Vol 41 (5) ◽  
pp. 437-464 ◽  
Author(s):  
Wen-Ming Szu ◽  
Wan-Ru Yang
Keyword(s):  
Confidence Interval ◽  
Investor Sentiment ◽  
Stock Index ◽  
Option Prices ◽  
Individual Investor ◽  
Content Type ◽  
The Us ◽  
Risk Neutral ◽  
The Impact ◽  
Option Market

Purpose – This paper investigates changes in risk-neutral distribution derived from Taiwan stockindex options under different market conditions. The purpose of this paper is to explore whether individual investor sentiment significantly influences the Taiwan option prices. Design/methodology/approach – The authors adopt the optimization method to estimate the risk-neutral distribution from the Taiwan stock index options and use the t-test to examine the difference in risk-neutral skewness, kurtosis, and confidence interval between the pre-crisis and crisis periods. This paper tests the impact of individual investor sentiment on risk-neutral skewness and confidence interval in two sub-periods. Findings – The authors find that errors in individual investors’ expectations significantly influence the Taiwan stock index option prices. Research limitations/implications – The data concerning the sentiment of speculative institutional investors are incomplete for the Taiwan option market. Therefore, this paper focusses on the analysis of individual investor sentiment. Further research can study the impact of institutional investor sentiment in emerging markets. Social implications – The previous literature has suggested that option prices reflect information before the information is revealed in stock prices. Therefore, an important implication is to analyze the information quality revealed in option prices by studying whether the changes in option prices are due to investor sentiment or non-sentiment-related components. Originality/value – Most of the studies in the literature have focussed on the US option market, and their applicability may vary across different microstructures. This paper shows that the influence of individual investor sentiment in an emerging market is different from that in the US market.

Do Indian stock market sentiments impact contemporaneous returns?

2018 ◽  
Vol 7 (3) ◽  
pp. 332-346
Author(s):  
Divya Aggarwal ◽  
Pitabas Mohanty
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Temporal Dynamics ◽  
Stock Exchange ◽  
Principal Component ◽  
Stock Index ◽  
Content Type ◽  
Investor Sentiments ◽  
Indian Stock Market ◽  
The Impact

Purpose The purpose of this paper is to analyse the impact of Indian investor sentiments on contemporaneous stock returns of Bombay Stock Exchange, National Stock Exchange and various sectoral indices in India by developing a sentiment index. Design/methodology/approach The study uses principal component analysis to develop a sentiment index as a proxy for Indian stock market sentiments over a time frame from April 1996 to January 2017. It uses an exploratory approach to identify relevant proxies in building a sentiment index using indirect market measures and macro variables of Indian and US markets. Findings The study finds that there is a significant positive correlation between the sentiment index and stock index returns. Sectors which are more dependent on institutional fund flows show a significant impact of the change in sentiments on their respective sectoral indices. Research limitations/implications The study has used data at a monthly frequency. Analysing higher frequency data can explain short-term temporal dynamics between sentiments and returns better. Further studies can be done to explore whether sentiments can be used to predict stock returns. Practical implications The results imply that one can develop profitable trading strategies by investing in sectors like metals and capital goods, which are more susceptible to generate positive returns when the sentiment index is high. Originality/value The study supplements the existing literature on the impact of investor sentiments on contemporaneous stock returns in the context of a developing market. It identifies relevant proxies of investor sentiments for the Indian stock market.

scholarly journals The Impact of Investor Sentiment on Return of Different Industries in Pakistan

2017 ◽  
pp. 1-23
Author(s):  
Sumayya Chughtai Et al.,
Keyword(s):  
Stock Returns ◽  
Principle Component Analysis ◽  
Negative Relationship ◽  
Investor Sentiment ◽  
Differential Impact ◽  
Future Period ◽  
Market Sentiment ◽  
Available Information ◽  
The Impact ◽  
The Relationship

We classify stocks in different industries to measure industrial sentiment based on principle component analysis in order to examine whether investor sentiment exerts a differential impact on stock returns across different industries. After having constructed industry-level sentiment indices we construct a composite investor sentiment index. Our results suggest that investor sentiment negatively affects current as well as future stock returns in Pakistan over the examined period. However, we find that the influence of investor sentiment varies substantially across different industries. We also find that the market sentiment index has a negative relationship with both current and future stock returns. We also show that the direction of the relationship between return and sentiment remains same for the current and future period. This indicates that investors overreact to the available information and mispricing exists for a prolonged time. Our results confirm that sentiment driven mispricing persists for upcoming time and stock markets are not fully efficient to adjust instantaneously.

US SEC approves sweeping amendments to rules governing money market funds

2015 ◽  
Vol 16 (1) ◽  
pp. 25-39
Author(s):  
Jack Murphy ◽  
Stephen Cohen ◽  
Brenden Carroll ◽  
Aline A. Smith ◽  
Matthew Virag ◽  
...  
Keyword(s):  
Financial Services ◽  
Boards Of Directors ◽  
Financial Stability ◽  
Money Market ◽  
Content Type ◽  
Fund Managers ◽  
Money Market Funds ◽  
The Usa ◽  
To Come ◽  
The Impact

Purpose – To explain the background and details and to discuss the implications of the USA Securities and Exchange Commission’s (SEC’s) July 23, 2014 amendments to Rule 2a-7 and other rules that govern money market funds under the Investment Company Act of 1940. Design/methodology/approach – Explains the background, including problems during the financial crisis, the USA Treasury’s temporary guarantee program in 2008, earlier SEC proposals, and the USA Financial Stability Oversight Council’s recommendations. Details the amendments to Rule 2a-7, including the authorization to impose liquidity fees and redemption gates, the floating net asset value (NAV) requirement, the impact of the amendments on unregistered money funds operating under Rule 12d1-1, guidance on fund valuation methods, disclosure requirements, requirements for money fund portfolios to be diversified as to issuers of securities and guarantors, stress testing requirements, and compliance dates. Findings – The Amendments set forth sweeping changes to money fund regulation and will have a profound effect on the money fund industry. Although the most significant provisions of the Amendments – the floating NAV requirement and the imposition of liquidity fees and redemption gates – will not go into effect for two years, the changes to the industry will be apparent almost immediately. Practical implications – Money fund managers and boards of directors should begin assessing the potential impact of the Amendments and develop a schedule to come into compliance. Originality/value – Practical guidance from experienced financial services lawyers.

Impact of volatility and equity market uncertainty on herd behaviour: evidence from UK REITs

2018 ◽  
Vol 11 (2) ◽  
pp. 169-186 ◽  
Author(s):  
Omokolade Akinsomi ◽  
Yener Coskun ◽  
Rangan Gupta ◽  
Chi Keung Marco Lau
Keyword(s):  
Asset Allocation ◽  
Regime Switching ◽  
Stock Exchange ◽  
Equity Market ◽  
Market Uncertainty ◽  
Content Type ◽  
Regime Switching Model ◽  
Switching Model ◽  
Market Sentiment ◽  
The Impact

PurposeThis paper aims to examine herding behaviour among investors and traders in UK-listed Real Estate Investment Trusts (REITs) within three market regimes (low, high and extreme volatility periods) from the period June 2004 to April 2016.Design/methodology/approachObservations of investors in 36 REITs that trade on the London Stock Exchange as at April 2016 were used to analyse herding behaviour among investors and traders of shares of UK REITs, using a Markov regime-switching model.FindingsAlthough a static herding model rejects the existence of herding in REITs markets, estimates from the regime-switching model reveal substantial evidence of herding behaviour within the low volatility regime. Most interestingly, the authors observed a shift from anti-herding behaviour within the high volatility regime to herding behaviour within the low volatility regime, with this having been caused by the FTSE 100 Volatility Index (UK VIX).Originality/valueThe results have various implications for decisions regarding asset allocation, diversification and value management within UK REITs. Market participants and analysts may consider that collective movements and market sentiment/psychology are determinative factors of risk-return in UK REITs. In addition, general uncertainty in the equity market, proxied by the impact of the UK VIX, may also provide a signal for increasing herding-related risks among UK REITs.

Role of halal literacy and religiosity in buying intention of halal branded food products in India

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Adil Khan ◽  
Mohd Yasir Arafat ◽  
Mohammad Khalid Azam
Keyword(s):  
Structural Equation ◽  
Research Work ◽  
Food Products ◽  
Partial Least Square ◽  
Least Square ◽  
Muslim Population ◽  
Content Type ◽  
Test Of Hypotheses ◽  
Halal Food ◽  
The Impact

Purpose This study aims to investigate the influence of religiosity (intrinsic and extrinsic) and halal literacy on the intention of Muslim consumers to purchase halal branded food products in India. An extended version of the theory of planned behaviour (TPB) was used as a framework. Apart from religiosity and halal literacy, the influence of attitude, social norms and perceived behavioural control of halal on buying intention were also tested. Design/methodology/approach The study uses a survey design. The data were collected from 350 individual respondents, using a closed-ended, structured questionnaire. The quality of the measurement model has been assessed through reliability testing, factor loading, average variance extracted and Fornell-Larcker criterion. The test of hypotheses was conducted by performing the partial least square structural equation modelling. Findings The result of hypotheses testing shows that both intrinsic and extrinsic types of religiosities did not have a direct influence on buying intention. However, religiosity (extrinsic and intrinsic) and halal literacy have significant relationships with most of the antecedents of the intention of the TPB. In addition, both kinds of religiosities (extrinsic and intrinsic) and halal literacy had a significant indirect effect (through TPB antecedents) on buying intention. Originality/value Muslim population in India is one of the largest in the world, yet there is a lack of popular halal branded food products in the market. Nevertheless, few researchers have attempted to study the consumer behaviour of the Muslim population for halal products in India. A large amount of research work on halal food behaviour is from countries such as Malaysia and Indonesia, where the Muslim population is in the majority and halal brands are already popular. Further, this paper studies the impact of dimensions of religiosity, which has been overlooked by researchers studying the halal food purchasing behaviour. The study also explores the impact of halal literacy, an understudied construct in halal marketing literature. The present study is amongst the earliest empirical research based on Muslim consumers in India on the topic of halal branded food products.

Real estate risk, yield modelling and market sentiment: the impact on pricing in European office markets

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Tony McGough ◽  
Jim Berry
Keyword(s):  
Real Estate ◽  
International Capital ◽  
Content Type ◽  
International Capital Markets ◽  
Real Estate Markets ◽  
Market Sentiment ◽  
Office Markets ◽  
Risk Pricing ◽  
Changes In Risk ◽  
The Impact

PurposeThe financial and economic turmoil that resulted from the Global Financial Crisis (GFC), included a marked increase in the volatility in real estate markets. Property asset prices were impacted by the real economy and market sentiment, particularly concerning the determination of risk. In an economic downturn, the perception of investment risk becomes increasingly important relative to overall total returns, and thus impacts on yields and performance of assets. In a recovery phase, and particularly within an environment of historically low government bonds, risk and return compete for importance. The aim of this paper is to assess the interrelationships and impacts on pricing between real estate risk, yield modelling outcomes and market sentiment in selective European city office markets.Design/methodology/approachThis paper specifically considers the modelling of commercial property pricing in relation to the appetite for risk in the financial markets. The paper expands on previous work by determining a specific measure of risk pricing in relationship to changing financial market sentiment. The methodology underpinning the research specifically examines the scope for using national and international risk pricing within specific real estate markets in Europe.FindingsThis paper addresses whether there is a difference between the impact of risk on the pricing of real estate in international versus regional cities in Europe. The analysis, therefore, determines which city centre office markets in Europe have been most impacted by globalisation including the magnitude on real estate prices and market volatility. The outcome of the paper provides important insights into how changes in risk preferences in the international capital markets have driven and continues to drive yield movements under different market conditions.Research limitations/implicationsThe paper considers the driving forces which have led to the volatile movements of yields, emanating from the GFC.Practical implicationsThis paper considers the property market effects on pricing of commercial real estate and the drivers in selected European cities.Originality/valueThe outcome of the paper provides important insights into how changes in risk preferences in the international capital markets have driven and continue to drive the yield movements in different real estate markets in Europe.

Financial liberalization and the behavior of reversals in emerging market economies

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Ali Fayyaz Munir ◽  
Shahrin Saaid Shaharuddin ◽  
Mohd Edil Abd Sukor ◽  
Mohamed Albaity ◽  
Izlin Ismail
Keyword(s):  
Emerging Markets ◽  
Financial Liberalization ◽  
Emerging Market ◽  
Asia Pacific ◽  
Emerging Market Economies ◽  
Investment Strategies ◽  
Content Type ◽  
Market Economies ◽  
Contrarian Strategy ◽  
Fund Managers

PurposeThis paper investigates the behavior of contrarian strategy payoffs under varying degrees of financial liberalization in the context of Asia-Pacific emerging market namely China, India, Indonesia, Korea, Malaysia, Pakistan, Philippines and Thailand for the period 1997–2017. These markets represent economies that display a gradual change in the degree of financial liberalization instead of fully opening their markets to foreign investors at once.Design/methodology/approachUsing a daily dataset of 2,468 firms and four different measures of the degree of financial liberalization, the paper employs portfolio formation, panel regressions and binary modeling methods to reveal the impact of partial and complete financial liberalization on contrarian returns.FindingsThis paper documents a negative relationship between the degree of financial liberalization and contrarian strategy payoffs. The results further indicate that small-sized emerging markets reveal more significant and higher contrarian returns as compared to their larger counterparts. Moreover, the returns are significantly higher during negative market states, higher volatility and crises periods. The study findings are consistent with the investor-base broadening hypothesis.Practical implicationsThe findings may serve as a useful input for investors and fund managers to devise contrarian investment strategies in emerging market economies. Together, the study provides additional insights for policymakers in managing financial liberalization and integration policies within their respective countries.Originality/valueThis study provides a novel viewpoint by examining the relationship between the degree of financial liberalization and contrarian strategy payoffs. The authors contribute to the existing debate by shifting the discussion to the investor-based broadening argument in which small and less liberalized emerging markets offer opportunities for investors and fund managers to produce abnormal contrarian returns that cannot be earned by other conventional investment strategies.

Are hedge fund returns affected by media coverage of macroeconomic news?

2019 ◽  
Vol 36 (3) ◽  
pp. 427-439
Author(s):  
Sandip Dutta ◽  
James Thorson
Keyword(s):  
Hedge Funds ◽  
Media Coverage ◽  
Hedge Fund ◽  
Real Sector ◽  
Macroeconomic News ◽  
Content Type ◽  
Fund Managers ◽  
News Announcements ◽  
Hedge Fund Returns ◽  
The Impact

Purpose Extant literature suggests that the difficulty associated with the interpretation of macroeconomic news announcements by the market in general in different economic environments, might be the reason why most studies do not find any significant relationship between real-sector macroeconomic variables and financial asset returns. This paper aims to use a different approach to measure macroeconomic news. The objective is to examine if a different measure of a macroeconomic news variable, constructed from media coverage of the same, significantly affects hedge fund returns. Design/methodology/approach The authors use a news index for unemployment, which is a real-sector variable, constructed from newspaper coverage of unemployment announcements and examine its impact on hedge fund returns. Findings Contrary to the other studies that examine the impact of macroeconomic news on hedge fund returns, the authors find that media coverage of unemployment news announcements significantly affects hedge fund returns. Practical implications Overall, this paper demonstrates that the manner in which the market interprets macroeconomic news announcements in different economic environments is probably a more relevant factor for hedge funds and is more likely to impact hedge fund returns. In conjunction with variables – constructed from media coverage of unemployment news announcements – that factor in the manner of interpretation, it is found that surprises also matter for hedge fund returns. This is an important consideration for hedge fund managers as well. Originality/value To the best of the authors’ knowledge, this is the first study that examines the impact of media coverage of macroeconomic news announcements on hedge fund returns and finds significantly different results with real-sector macro variables.

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