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Ffect Of Investor Sentiment On Future Returns In The Nigerian Stock Market

Author

Listed:
  • ALAJEKWU, Udoka Bernard

    (Nnamdi Azikiwe University)

  • OBIALOR, Michael Chukwumee

    (Chukwuemeka Odumegwu Ojukwu University)

  • OKORO, Cyprian Okey

    (Chukwuemeka Odumegwu Ojukwu University)

Abstract

Nigerian stock market for a period covering the time from the 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 (ΔCCI) 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 (ΔCCI) 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.

Suggested Citation

  • ALAJEKWU, Udoka Bernard & OBIALOR, Michael Chukwumee & OKORO, Cyprian Okey, 2017. "Ffect Of Investor Sentiment On Future Returns In The Nigerian Stock Market," Annals of Spiru Haret University, Economic Series, Universitatea Spiru Haret, vol. 17(2), pages 103-126.
    • Handle: RePEc:ris:sphecs:0259
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    References listed on IDEAS

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    More about this item

    Keywords

    investor sentiment; Nigerian stock market; stock returns; consumer confidence index; noise trading;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • M12 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Administration - - - Personnel Management; Executives; Executive Compensation

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