Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/318846 
Year of Publication: 
2024
Citation: 
[Journal:] Business Systems Research (BSR) [ISSN:] 1847-9375 [Volume:] 15 [Issue:] 2 [Year:] 2024 [Pages:] 67-82
Publisher: 
Sciendo, Warsaw
Abstract: 
Background Traditional asset pricing models face challenges from financial anomalies, prompting exploration through behavioural finance theory. This study analyses the nuanced relationship between individual investor sentiment and key stock market variables. Objectives To assess the impact of individual investor sentiment on stock returns, volatilities, and trading volumes using the American Association of Individual Investors (AAII) sentiment index. Methods/Approach Using regression models, we examine the relationship between individual investor sentiment and various stock characteristics across 480 components of the Standard & Poor's 500 index. Results We find a positive relationship between the AAII sentiment index and stock returns and a negative relationship with volatility and trading volume. Conclusions Our study contributes to understanding the intricate role of individual investor sentiment in financial markets.
Subjects: 
investor sentiment
stock characteristics
behavioural finance
AAII sentiment index
JEL: 
G12
G14
G41
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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