Investor sentiment measurement based on technical analysis indicators affecting stock returns: Empirical evidence on VN100

The purpose of this study is to examine whether investor sentiment as measured by technical analysis indicators has an impact on stock returns. The research period is from 2015 to mid-2020. 1-year government bond yields, financial data, transaction data of 57 companies in the VN100 basket, and VNInd...

Descripción completa

Guardado en:

Detalles Bibliográficos
Autores principales:	Lai Cao Mai Phuong, Vu Cam Nhung
Formato:	article
Lenguaje:	EN
Publicado:	LLC "CPC "Business Perspectives" 2021
Materias:	excess return principal component analysis psychological line index relative strength index technical indicator Finance HG1-9999
Acceso en línea:	https://doaj.org/article/d34ea78904af42fba794de9c0d58c40e
Etiquetas:	Agregar Etiqueta Sin Etiquetas, Sea el primero en etiquetar este registro!

id	oai:doaj.org-article:d34ea78904af42fba794de9c0d58c40e
record_format	dspace
spelling	oai:doaj.org-article:d34ea78904af42fba794de9c0d58c40e2021-12-03T13:07:22ZInvestor sentiment measurement based on technical analysis indicators affecting stock returns: Empirical evidence on VN10010.21511/imfi.18(4).2021.251810-49671812-9358https://doaj.org/article/d34ea78904af42fba794de9c0d58c40e2021-12-01T00:00:00Zhttps://www.businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/15877/IMFI_2021_04_Phuong.pdfhttps://doaj.org/toc/1810-4967https://doaj.org/toc/1812-9358The purpose of this study is to examine whether investor sentiment as measured by technical analysis indicators has an impact on stock returns. The research period is from 2015 to mid-2020. 1-year government bond yields, financial data, transaction data of 57 companies in the VN100 basket, and VNIndex are analyzed. The investor sentiment variable is measured by each technical analysis indicator (Relative Strength Index – RSI, Psychological Line Index – PLI), and the general sentiment variable is established based on extracting the principal component from individual indicators. The paper uses two regression methods – Fama-MacBeth and Generalized Least Square (GLS) – for five different research models. The results show that sentiment plays an important role in stock returns in the Vietnamese stock market. Even controlling the factors such as cash flow per share, firm size, market risk premium, and stock price volatility in the studied models, the impact of sentiment is significant in both the model using individual technical indicators and the model using the general sentiment variable. Furthermore, investor sentiment has a stronger power to explain excess stock returns than their trading behavior. The implication from the results shows that the Vietnamese stock market is inefficient, in which psychology is a very important issue and participants need to pay due attention to this factor. AcknowledgmentThis study was funded by the Industrial University of Ho Chi Minh City (IUH), Vietnam (grant number: 21/1TCNH03).Lai Cao Mai PhuongVu Cam NhungLLC "CPC "Business Perspectives"articleexcess returnprincipal component analysispsychological line indexrelative strength indextechnical indicatorFinanceHG1-9999ENInvestment Management & Financial Innovations , Vol 18, Iss 4, Pp 297-308 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	excess return principal component analysis psychological line index relative strength index technical indicator Finance HG1-9999
spellingShingle	excess return principal component analysis psychological line index relative strength index technical indicator Finance HG1-9999 Lai Cao Mai Phuong Vu Cam Nhung Investor sentiment measurement based on technical analysis indicators affecting stock returns: Empirical evidence on VN100
description	The purpose of this study is to examine whether investor sentiment as measured by technical analysis indicators has an impact on stock returns. The research period is from 2015 to mid-2020. 1-year government bond yields, financial data, transaction data of 57 companies in the VN100 basket, and VNIndex are analyzed. The investor sentiment variable is measured by each technical analysis indicator (Relative Strength Index – RSI, Psychological Line Index – PLI), and the general sentiment variable is established based on extracting the principal component from individual indicators. The paper uses two regression methods – Fama-MacBeth and Generalized Least Square (GLS) – for five different research models. The results show that sentiment plays an important role in stock returns in the Vietnamese stock market. Even controlling the factors such as cash flow per share, firm size, market risk premium, and stock price volatility in the studied models, the impact of sentiment is significant in both the model using individual technical indicators and the model using the general sentiment variable. Furthermore, investor sentiment has a stronger power to explain excess stock returns than their trading behavior. The implication from the results shows that the Vietnamese stock market is inefficient, in which psychology is a very important issue and participants need to pay due attention to this factor. AcknowledgmentThis study was funded by the Industrial University of Ho Chi Minh City (IUH), Vietnam (grant number: 21/1TCNH03).
format	article
author	Lai Cao Mai Phuong Vu Cam Nhung
author_facet	Lai Cao Mai Phuong Vu Cam Nhung
author_sort	Lai Cao Mai Phuong
title	Investor sentiment measurement based on technical analysis indicators affecting stock returns: Empirical evidence on VN100
title_short	Investor sentiment measurement based on technical analysis indicators affecting stock returns: Empirical evidence on VN100
title_full	Investor sentiment measurement based on technical analysis indicators affecting stock returns: Empirical evidence on VN100
title_fullStr	Investor sentiment measurement based on technical analysis indicators affecting stock returns: Empirical evidence on VN100
title_full_unstemmed	Investor sentiment measurement based on technical analysis indicators affecting stock returns: Empirical evidence on VN100
title_sort	investor sentiment measurement based on technical analysis indicators affecting stock returns: empirical evidence on vn100
publisher	LLC "CPC "Business Perspectives"
publishDate	2021
url	https://doaj.org/article/d34ea78904af42fba794de9c0d58c40e
work_keys_str_mv	AT laicaomaiphuong investorsentimentmeasurementbasedontechnicalanalysisindicatorsaffectingstockreturnsempiricalevidenceonvn100 AT vucamnhung investorsentimentmeasurementbasedontechnicalanalysisindicatorsaffectingstockreturnsempiricalevidenceonvn100
_version_	1718373233055498240

Investor sentiment measurement based on technical analysis indicators affecting stock returns: Empirical evidence on VN100

Ejemplares similares