Nastrój inwestorów i stopy zwrotu WIG
Investor Sentiment and WIG Returns
Author(s): Paweł SekułaSubject(s): Crowd Psychology: Mass phenomena and political interactions, Financial Markets
Published by: Wydawnictwo Naukowe Uniwersytetu Marii Curie-Sklodowskiej
Keywords: investor sentiment; stock returns; Granger causality;
Summary/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.
Journal: Annales Universitatis Mariae Curie-Skłodowska, Sectio H Oeconomia
- Issue Year: LI/2017
- Issue No: 5
- Page Range: 283-291
- Page Count: 9
- Language: Polish