Title

Can sentiment lead to something more?: A 2009-2016 empirical study establishing the relationship of market sentiment and stock market returns of 22 selected Philippine Stock Exchange blue-chip companies

Date of Publication

2017

Document Type

Bachelor's Thesis

Degree Name

Bachelor of Science in Management of Financial Institutions

Subject Categories

Finance and Financial Management

College

Ramon V. Del Rosario College of Business

Department/Unit

Financial Management Department

Thesis Adviser

Tyrone Panzer Chan Pao

Defense Panel Chair

Kristine Mae Lagdameo

Defense Panel Member

Marycris Albao
Angelito Bala

Abstract/Summary

Market sentiment is the overall psychology of the market. It can be proxied by the widely used ARMS index. In this study, 22 consistent Philippine Stock Exchange blue-chip companies from 2009–2016 are used to analyze the factors affecting market sentiment and stock returns. Using OLS, results show that market sentiment does not affect stock returns, but stock returns affect market sentiment by an inverse factor of 7.66. Excess returns and volatility affect stock returns but not market sentiment.

Abstract Format

html

Language

English

Format

Print

Accession Number

TU19981

Shelf Location

Archives, The Learning Commons, 12F, Henry Sy Sr. Hall

Physical Description

75 leaves, illustrations, 28 cm. + 1 computer disc (4 3/4 in.)

Keywords

Stocks--Rate of return; Stock exchanges--Philippines

Embargo Period

5-11-2021

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