Chowdhury, Anup, Uddin, Moshfique and Anderson, Keith Philip orcid.org/0000-0002-6557-422X (2022) Trading Behaviour and Market Sentiment:Firm-level Evidence from an Emerging Islamic Market. Global Finance Journal. 100621. ISSN 1044-0283
Abstract
We provide firm-level evidence from an emerging Islamic market that individual investors’ trading behaviour causes weekend sentiment. Using data for 285 companies listed on the Dhaka Stock Exchange (DSE) for the period from 2002 to 2019 and applying appropriate econometric techniques, the paper has found evidence of a weekend effect both on return and volatility. The results confirm that individual investors’ sentiment drives the weekend effect on the DSE. The ‘information content theory’ and ‘information processing hypothesis’ work for investors so that the market return and volatility become significantly different on Sunday. The market sentiment effect is significant for smaller firms and low dividend yield firms where individual investors are prevalent, suggesting that the trading behaviour of individual investors determines weekend sentiment. A positive feedback relationship exists between returns on Sunday and the previous Thursday for both institutions and individuals. Our results are robust in various alternative specifications.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2021 Elsevier Inc. This is an author-produced version of the published paper. Uploaded in accordance with the publisher’s self-archiving policy |
Dates: |
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Institution: | The University of York |
Academic Units: | The University of York > Faculty of Social Sciences (York) > The York Management School |
Depositing User: | Pure (York) |
Date Deposited: | 10 Feb 2021 10:30 |
Last Modified: | 16 Dec 2024 00:14 |
Published Version: | https://doi.org/10.1016/j.gfj.2021.100621 |
Status: | Published |
Refereed: | Yes |
Identification Number: | 10.1016/j.gfj.2021.100621 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:170946 |
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