Investor sentiment by relative strength index and stock return: Empirical evidence on Vietnam's stock market

Abstract: This article examines how investor sentiment affects stock returns on Vietnam's stock market. Investor sentiment index is measured by a relative strength index (RSI) of 57 companies listed on the Ho Chi Minh Stock Exchange from January 1, 2015 to July 31, 2020. Control variables include investors' stock trading behavior, firm size, and cash flow per share. Using Fama-MacBeth regression estimation and general least square estimation (GSL) on a daily basis, both methods find the sentiment of high investors producing higher stock returns, on the contrary, the sentiment of low investors erodes stock returns. Different from the results of Brown and Cliff (2004) [Brown, G. W., & Cliff, M. T. (2004). Investor sentiment and the near-term stock market. Journal of empirical finance, 11(1), 1-27], the article found that the investor sentiment factor plays the most important role in explaining the return of the stock market compared to the rest of the factors.

How to cite this paper

 Phuong, L. (2021). Investor sentiment by relative strength index and stock return: Empirical evidence on Vietnam's stock market.Accounting, 7(2), 451-456.

Refrences

Battalio, R. H., & Mendenhall, R. R. (2005). Earnings expectations, investor trade size, and anomalous returns around earnings announcements. Journal of Financial Economics, 77(2), 289-319.
Brown, G. W., & Cliff, M. T. (2004). Investor sentiment and the near-term stock market. Journal of empirical finance, 11(1), 1-27.
Chen, H., Chong, T. T. L., & Duan, X. (2010). A principal component approach to measuring investor sentiment. Quantitative Finance, 10, 339–347.
Chong, T. T. L., & Ng, W. K. (2008). Technical analysis and the London stock exchange: testing the MACD and RSI rules using the FT30. Applied Economics Letters, 15(14), 1111-1114.
Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The journal of Finance, 25(2), 383-417. DOI: 10.2307/2325486.
Frazzini, A., & Lamont, O. A. (2008). Dumb money: Mutual fund flows and the cross-section of stock returns. Journal of financial economics, 88(2), 299-322.
Gujarati, D. N. (2009). Basic econometrics. Tata McGraw-Hill Education. Chapter 16.
Hudson, Y., & Green, C. J. (2015). Is investor sentiment contagious? International sentiment and UK equity returns. Journal of Behavioral and Experimental Finance, 5, 46-59.
Murphy, J. J. (1999). Technical analysis of the financial markets: A comprehensive guide to trading methods and applications. Penguin.
Newey, W. K., and K. D. West. (1987). A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica55: 703–708.
Lakonishok, J., Shleifer, A., Vishny, R. W., Hart, O., & Perry, G. L. (1992). The structure and performance of the money management industry. Brookings Papers on Economic Activity. Microeconomics, 1992, 339-391. DOI: 10.2307/2534766.
Phương, L. C. M. (2012). Nghiên cứu ảnh hưởng của chu kỳ mặt trăng đến lợi suất tại thị trường chứng khoán Việt Nam. Tạp chí Phát triển và hội nhập, 2(2012), 75-78.
Phuong, L. C. M. (2017). The correlation of geomagnetic field to VNIndex return. Banking Technology Review, 1(1), 65-81.
Phuong, L. C. M. (2019). Tỷ suất sinh lợi của VN-Index và HNX-Index vào những ngày đầu tháng âm lịch. Tạp chí Tài chính, 1(708), 92-95.
Phuong, L. C. M. (2020). Investor sentiment by psychological line index and stock return. Accounting, 6(7), 1259-1264.
Phuong, L. C. M. (2018). Hiệu ứng trước kỳ nghỉ lễ tác động đến tỷ suất sinh lợi VN-Index và HNX-Index. Tạp chí Tài chính, 1(686), 76-79.
Ryu, D., Kim, H., & Yang, H. (2017). Investor sentiment, trading behavior and stock returns. Applied Economics Letters, 24(12), 826-830.
Stambaugh, R. F., Yu, J., & Yuan, Y. (2012). The short of it: Investor sentiment and anomalies. Journal of Financial Economics, 104(2), 288-302.

Journals

AC Volumes

Keywords

Authors

Countries

Accounting

Investor sentiment by relative strength index and stock return: Empirical evidence on Vietnam's stock market Pages 451-456 Download PDF

Add Reviews