Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/281929 
Authors: 
Year of Publication: 
2023
Citation: 
[Journal:] UTMS Journal of Economics [ISSN:] 1857-6982 [Volume:] 14 [Issue:] 1 [Year:] 2023 [Pages:] 25-42
Publisher: 
University of Tourism and Management, Skopje
Abstract: 
In this paper we address the question of whether the investor sentiment (optimism, neutrality, pessimism) and the decomposed S&P 500 signal components (irregularity, seasonality and trend) are dynamically, and Granger causally related on a temporal scale. The aim is to identify structural relationships between decomposed S&P 500 signal components and investors' sentiment that would defend our proposition that the formation of investors' sentiment has an epistemological nature, grounded on the epistemic properties of the decomposed S&P 500 signal components. The preliminary VAR and Granger causality results do indicate a dynamic unidirectional relationship between S&P 500 signal as a whole and investors' sentiment. While the secondary Granger causality results do indicate a bidirectional relationship between the decomposed S&P 500 signal components and investors' sentiment. These two results altogether suggest a structural relationship where the S&P 500 signal decomposition does have an epistemological role on the formation of investors' sentiment and vice versa investors' sentiment does impact the S&P 500 signal only on the level of its decomposed components, but not on the S&P 500 signal as a whole.
JEL: 
G1
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article

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