I’m planning to investigate the relationship between investor sentiment and stock returns in emerging markets. I read about consumer and business confidence indicators used in developed markets. I’m really looking to find out what you’d consider to be the most efficient method to construct investor sentiment indicators in emerging markets and where perhaps I can obtain that kind of data.
Thanks.
You can go through the papers
The Emerging Markets’ Investor Sentiment Composite Index: A Test on Bursa Malaysia
The impacts of investor sentiment on different economic sectors: Evidence from Istanbul Stock Exchange
Sentiment and returns: an analysis of investor sentiment in South African Market
Why the Sentiment toward Emerging Markets Has Been Changing
and see how it is done.
Hi Mo,
I recently contributed to the projects:
"Media sentiment and CDS spread spillovers: Evidence from the GIIPS countries", it's covering media sentiments, but you might find it useful.
"Investors' sentiment and US Islamic and conventional indexes nexus: A time-frequency analysis", this one can be helpful too.
Kind regards,
Larisa.
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