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Term structure of sentiment effect on investor trading behavior

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  • Kim, Karam
  • Ryu, Doojin

Abstract

We examine the relationships among firm-specific sentiments, investor trading behaviors, and stock returns depending on time terms. The term structure of the sentiment effect on investors’ trading volume is downward-sloping, implying that sentiment trading is short-lived. Domestic individuals are the most sentimental. Domestic institutional trading is the least affected by sentiment in the short run; foreign investors’ sentiment trading quickly diminishes in the longer term.

Suggested Citation

  • Kim, Karam & Ryu, Doojin, 2021. "Term structure of sentiment effect on investor trading behavior," Finance Research Letters, Elsevier, vol. 43(C).
    • Handle: RePEc:eee:finlet:v:43:y:2021:i:c:s1544612321000866
    DOI: 10.1016/j.frl.2021.102005
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    References listed on IDEAS

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    Cited by:

    1. Seok, Sangik & Cho, Hoon & Ryu, Doojin, 2022. "Scheduled macroeconomic news announcements and intraday market sentiment," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    2. Ham, Hyuna & Ryu, Doojin & Webb, Robert I., 2022. "The effects of overnight events on daytime trading sessions," International Review of Financial Analysis, Elsevier, vol. 83(C).
    3. Seok, Sang Ik & Cho, Hoon & Ryu, Doojin, 2021. "Stock Market’s responses to intraday investor sentiment," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    4. Kim, Karam & Ryu, Doojin & Yang, Heejin, 2021. "Information uncertainty, investor sentiment, and analyst reports," International Review of Financial Analysis, Elsevier, vol. 77(C).

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    More about this item

    Keywords

    Firm-specific sentiment; Investor type; Stock return; Term structure; Trading behavior;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G41 - Financial Economics - - Behavioral Finance - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets

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