Abstract
For five leading emerging economies: China, India, Russia, Indonesia and South Korea, we show that existing sentiment variables-both direct (Consumer Confidence Index) and indirect (Baker-Wurgler Index)-are insignificant in explaining respective nations' index returns. We improve upon current techniques by using modified sentiment extraction as proposed in Anand et al. [2020] to study the impact of central bank speech sentiment on respective stock market indices. We find that central bank speeches do have a significant impact on the stock markets in our sample of emerging countries.
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