CEU Electronic Theses and Dissertations, 2022
| Author | Karabayeva, Ainura |
|---|---|
| Title | How Does Investors Sentiment Influence the Development of Financial Markets? A Comparative Analysis Between Developed and Emerging Economies |
| Summary | The focus of my paper is the effect of investor sentiment on securities returns. I present a literature comparison of developed and emerging markets and empirically test this effect in the case of Kazakhstan. In developed markets, an increase in a given sentiment index is associated with a decrease in returns in subsequent periods. For emerging markets the evidence of this effect is mixed. To test it in Kazakhstan, I use principal component analysis to create a sentiment index based on return on equity, return on assets, trading volume, and volatility. The results using OLS, firm fixed effects and random effects show that an increase of 1 point in the sentiment index can be associated with an increase of security returns of 0.13 to 0.4 KZT. |
| Supervisor | Tomy Lee |
| Department | Economics MA |
| Full text | https://www.etd.ceu.edu/2022/karabayeva_ainura.pdf |
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