The Impact of Short-sale Constraints on the Relationship of Investor Sentiment, Stock Return and Volatility: Evidence from 41 Countries
Date Issued
2014
Date
2014
Author(s)
Lin, Tsai-Ju
Abstract
This study examines by SUR model the impact of short-sale constraints on the relationship of investor sentiment, stock return and the volatility of stock return in a total number of 41 countries constituted of 16 countries with short-sale constraints and 25 countries without short-sale constraints. The results suggest that first, impact of past returns on investor sentiment is mostly positive, which is stronger in countries with short-sale constraints; second, there is no particular direction for the impact of past investor sentiment on stock returns, but there is a higher percentage of countries in the group without short-sale constraints feature the negative impact of investor sentiment on stock returns; third, the impact of past volatility on investor sentiment is mostly negative, and there is a higher percentage of countries in the group without short-sale constraints feature the negative impact of the volatility of stock returns on investor sentiment; forth, the impact of past investor sentiment on volatility of stock return is more likely to be negative, and this impact is stronger in countries with short-sale constraints.
Considering the effect of bull or bear market, the results indicate that, first, the positive impact of returns on investor sentiment is stronger in bear market for countries with short-sale constraint; second, the impact of investor sentiment is more likely to be negative in bull market, which is stronger in countries with short-sale constraints, and is more likely to be positive in bear market, which is stronger in countries without short-sale constraints; third, the negative impact of volatility on investor sentiment is stronger in bear market in countries without short-sale constraints; forth, the negative impact of investor sentiment on volatility is stronger in bear market.
Subjects
放空限制
報酬
波動
投資人情緒
多頭
空頭
Type
thesis
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