Sports Sentiment and Stock Returns: The Bombay Stock Exchange

Reuters sentiment and stock returns

We examine the statistical power of fundamental and behavioral factors with regards to stock returns of the Dow Jones Industrials Index. With a novel sentiment dataset from over 3.6 million Reuters news articles, we nd signi cant correlations between Reuters sentiment and stock returns. We show with vector autoregression and error correction models that sentiment can explain and predict changes...

Impact of Macroeconomic Variables on Stock Returns: Evidence from Bombay Stock Exchange (BSE)

Numerous empirical studies have examined the relationship between macroeconomic variables and stock returns across different stock markets and time horizons by either outlining the influence of only domestic variables or a few global factors. The aim of this paper is to combine both global and domestic factors and extend this presumed relationship between stock returns and macroeconomic variabl...

Heteroskedasticity Models on the Bombay Stock Exchange

In this article, we study conditional heteroskedasticity in a market index on the Bombay Stock Exchange, from April 1979 to March 1995. We nd strong evidence of heteroskedasticity in daily, weekly and monthly returns. The conditional variance of all three data series seem best approximated by a garch(1,1) model. The garch parameter estimates at all data frequencies exhibit strong persistence in...

Individual Investor Sentiment and Stock Returns

This paper investigates a unique dataset that enables us to determine the aggregate buy and sell volume of individual investors for a large cross-section of NYSE stocks. We find that individuals trade as if they are contrarians, and that the stocks that individuals buy exhibit positive excess returns in the following month. These patterns are consistent with the idea that risk-averse individual...

Competition, Liquidity and Volatility - A Comparative Study of Bombay Stock Exchange and National Stock Exchange