Investor Sentiment and WIG Returns

Paweł Sekuła

Abstract


The article presents the analysis of the relations between the investor sentiment and the WIG returns on the weekly and monthly data in the period of 2011–2016. The study shows a positive, statistically significant relationship between the WIG changes and the investor sentiment index. The results obtained indicate that the WIG is the dominant variable, and the investor sentiment index depends on the WIG changes. Moreover, the Granger causality test suggests that the investor sentiment index is not the Granger cause for the WIG.


Keywords


investor sentiment; stock returns; Granger causality

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References


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DOI: http://dx.doi.org/10.17951/h.2017.51.5.283
Date of publication: 2017-12-22 12:02:56
Date of submission: 2017-04-22 17:58:58


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