International Sentiment Spillovers in Equity Returns
研究了美国投资者情绪对G7国家整体市场、价值股和成长股收益的溢出效应，发现美国市场情绪显著影响非美G7国家的股票收益，但个人投资者情绪的理性与非理性成分作用不显著。
Abstract This paper examines the extent of spillovers from US investor sentiment on G7 aggregate market, value and growth stock returns. As a proxy for investor sentiment, we include individual investor survey, measured by the University of Michigan consumer confidence index and market sentiment measured by Baker and Wurgler composite sentiment index. Using monthly data for the period January 1991 to December 2013, our results indicate the presence of significant spillover effects of US investor sentiment on G7 stock returns. Our findings from generalized impulse response functions show that aggregate market and growth stocks of all non‐US G7 countries are significantly affected by the propagation of the US market sentiment. The financial crisis of 2007 has played a significant role in affecting value stock returns in these countries. Our findings further reveal that both the rational and irrational components of the US individual investor sentiment do not play any significant role in affecting international stock returns. Copyright © 2016 John Wiley & Sons, Ltd.