The roles of investor sentiment in Malaysian stock market

The objective of this work is to offer an alternative theoretical perspective and modelling of local investor sentiment proxies in Malaysian stock market. In the theoretical part, two alternative theoretical perspectives in understanding sentiment are introduced, namely, the cognitive-affective theo...

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Published in:Asian Academy of Management Journal of Accounting and Finance
Main Author: Tuyon J.; Ahmad Z.; Matahir H.
Format: Article
Language:English
Published: Penerbit Universiti Sains Malaysia 2016
Online Access:https://www.scopus.com/inward/record.uri?eid=2-s2.0-85009232063&doi=10.21315%2faamjaf2016.12.S1.3&partnerID=40&md5=5fe1873dc3ac17158f5897ab27a4f9b1
id 2-s2.0-85009232063
spelling 2-s2.0-85009232063
Tuyon J.; Ahmad Z.; Matahir H.
The roles of investor sentiment in Malaysian stock market
2016
Asian Academy of Management Journal of Accounting and Finance
12

10.21315/aamjaf2016.12.S1.3
https://www.scopus.com/inward/record.uri?eid=2-s2.0-85009232063&doi=10.21315%2faamjaf2016.12.S1.3&partnerID=40&md5=5fe1873dc3ac17158f5897ab27a4f9b1
The objective of this work is to offer an alternative theoretical perspective and modelling of local investor sentiment proxies in Malaysian stock market. In the theoretical part, two alternative theoretical perspectives in understanding sentiment are introduced, namely, the cognitive-affective theory of mind from neuroscience and the ABC model of the cognitive psychology. In modelling, we identify a combination of survey-based and market-based investor sentiment proxies, namely, the consumer sentiment index, the business condition index, and the stock futures index. The validity of the theory and model is then falsified with empirical analysis by examining the long- and short-run as well as stability relationships of the sentiment proxies on the aggregate stock market index returns using suitable econometric methods. The findings revealed that the proposed sentiment proxies are statistically significant in relations to the stock market returns in the long- and short-run with varying degree of persistency. However, the relations are not homogeneous across different size, industry groups, and market states which are in line with the existing behavioural finance views. In summary, this paper provides a new theoretical insights and empirical evidence on the roles of sentiment in Malaysian stock market that offers valuable academic, practical and policy implications. © Asian Academy of Management and Penerbit Universiti Sains Malaysia, 2016.
Penerbit Universiti Sains Malaysia
18234992
English
Article
All Open Access; Gold Open Access
author Tuyon J.; Ahmad Z.; Matahir H.
spellingShingle Tuyon J.; Ahmad Z.; Matahir H.
The roles of investor sentiment in Malaysian stock market
author_facet Tuyon J.; Ahmad Z.; Matahir H.
author_sort Tuyon J.; Ahmad Z.; Matahir H.
title The roles of investor sentiment in Malaysian stock market
title_short The roles of investor sentiment in Malaysian stock market
title_full The roles of investor sentiment in Malaysian stock market
title_fullStr The roles of investor sentiment in Malaysian stock market
title_full_unstemmed The roles of investor sentiment in Malaysian stock market
title_sort The roles of investor sentiment in Malaysian stock market
publishDate 2016
container_title Asian Academy of Management Journal of Accounting and Finance
container_volume 12
container_issue
doi_str_mv 10.21315/aamjaf2016.12.S1.3
url https://www.scopus.com/inward/record.uri?eid=2-s2.0-85009232063&doi=10.21315%2faamjaf2016.12.S1.3&partnerID=40&md5=5fe1873dc3ac17158f5897ab27a4f9b1
description The objective of this work is to offer an alternative theoretical perspective and modelling of local investor sentiment proxies in Malaysian stock market. In the theoretical part, two alternative theoretical perspectives in understanding sentiment are introduced, namely, the cognitive-affective theory of mind from neuroscience and the ABC model of the cognitive psychology. In modelling, we identify a combination of survey-based and market-based investor sentiment proxies, namely, the consumer sentiment index, the business condition index, and the stock futures index. The validity of the theory and model is then falsified with empirical analysis by examining the long- and short-run as well as stability relationships of the sentiment proxies on the aggregate stock market index returns using suitable econometric methods. The findings revealed that the proposed sentiment proxies are statistically significant in relations to the stock market returns in the long- and short-run with varying degree of persistency. However, the relations are not homogeneous across different size, industry groups, and market states which are in line with the existing behavioural finance views. In summary, this paper provides a new theoretical insights and empirical evidence on the roles of sentiment in Malaysian stock market that offers valuable academic, practical and policy implications. © Asian Academy of Management and Penerbit Universiti Sains Malaysia, 2016.
publisher Penerbit Universiti Sains Malaysia
issn 18234992
language English
format Article
accesstype All Open Access; Gold Open Access
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