Abstract
Investor sentiment by psychological line index and stock return
Highlights
Capital Asset Pricing Model of Sharpe (1964), Lintner (1965) and Mossin (1966) have been a basic theory of asset valuation in financial markets for a long time
This article will measure investor sentiment according to the psychological line index and study how it affects the return of stocks on the stock market of Vietnam from January 1, 2015 to
This article has used two estimation methods, Fama-MacBeth and General Least Squares, for 57 companies listed on the Ho Chi Minh City Stock Exchange to find out the influence of the psychological factor of investors to return on the Vietnamese stock market
Summary
Capital Asset Pricing Model of Sharpe (1964), Lintner (1965) and Mossin (1966) have been a basic theory of asset valuation in financial markets for a long time. In addition to the fundamentals and corporate characteristics that influence stock returns, recent studies have suggested that investor sentiment plays an important role in determining stock returns (Ryu, Kim & Yang, 2017; Kim, Ryu & Yang, 2019; He, He & Wen, 2019). These studies are based on the view of behavioral finance in that investors' sentiment influences their economic decisions. Many studies provide evidence of non-financial factors that can affect the Vietnamese stock market such as foreign ownership (Vinh, 2015), geomagnetic field (Phuong, 2017), institutions (Phuong, 2020a), corruption (Phuong, 2020b, 2020c), but the number of studies using technical analysis tools to measure investor sentiment in this market is very small. Many studies have used psychological line indexes to measure investor sentiment (Ryu et al, 2017; He et al 2019; Kim et al 2019; Shaik & Syed, 2019) but until now, there are no studies using this indicator to measure the psychology of
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