Effect of Investor Sentiment on Future Returns in the Nigerian Stock Market
Study investigated the effect of investor sentiment on future returns in the Nigerian stock market for a period covering first quarter of 2008 to fourth quarter of 2015.The OLS regression and granger causality techniques were employed for data analyses. The results showed that 1 investor sentiment has a significant positive effect on stock market returns even after control for fundamentals such as Industrial production index, consumer price index and Treasury bill rate 2 there is a uni directional causality that runs from change in investor sentiment CCI to stock market returns Rm . Derived finding showed that the inclusion of fundamentals increased the explanatory power of investor sentiment from 3.96 to 33.05 , though at both level, investor sentiment CCI has low explanatory power on stock market returns. The study posits existence of a dynamic relationship between investor sentiment and the behaviour of stock future returns in Nigeria such that higher sentiment concurrently leads to higher stock prices. Udoka Bernard Alajekwu* | Cyprian Okey Okoro | Dr. Michael Chukwumee Obialor | Prof. N. S. Ibenta "Effect of Investor Sentiment on Future Returns in the Nigerian Stock Market" Published in International Journal of Trend in Scientific Research and Development (ijtsrd), ISSN: 2456-6470, Volume-1 | Issue-5 , August 2017, URL: https://www.ijtsrd.com/papers/ijtsrd2256.pdf Paper URL: http://www.ijtsrd.com/management/marketing-management/2256/effect-of-investor-sentiment-on-future-returns--in-the-nigerian-stock-market/udoka-bernard-alajekwu
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