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Σχολή Διοίκησης Επιχειρήσεων

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Η Σχολή Διοίκησης Επιχειρήσεων περιλαμβάνει τα Τμήματα: - Τμήμα Οργάνωσης και Διοίκησης Επιχειρήσεων - Τμήμα Μάρκετινγκ και Επικοινωνίας - Τμήμα Λογιστικής και Χρηματοοικονομικής - Τμήμα Διοικητικής Επιστήμης και Τεχνολογίας.

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Πλοήγηση Σχολή Διοίκησης Επιχειρήσεων ανά Συγγραφέα "Anastasiadi, Marilena"

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  • Μικρογραφία εικόνας
    Τεκμήριο
    Exploring the relationship between investor sentiment and stock returns: evidence from the European Union markets
    (2023) Anastasiadi, Marilena; Αναστασιάδη, Μαριλένα; Athens University of Economics and Business, Department of Accounting and Finance; Chalamandaris, George; Episkopos, Athanasios; Rompolis, Leonidas
    In recent years, there has been a growing body of research on the influence investor sentiment has on stock returns. In this thesis we shall focus our examination on the case of the European Union. In addition, we shall attempt to identify other macroeconomic factors that impose an effect on the performance of the stock markets.Having the existing literature as our starting point, we shall establish the theoretical framework and develop the empirical analysis to investigate the relationship between sentiment and stock market performance. Using consumer confidence as a proxy for investor sentiment, we examine a period of twenty-two years, from January 2000 to December 2022. We chose a sample of 18 European Union countries as our sample, and their respective stock indices.For the purpose of this thesis, we employ a variety of empirical methods. We conduct regression analyses on three models, we perform descriptive statistics analysis, and we employ VAR models to account for time-series data. To ensure the robustness of our results, we apply stationarity tests and Granger Causality test. As we work with time series and not panel data, our results vary depending on the country. Overall, we observe a contemporaneous -but not significant at all cases- positive effect of monthly fluctuations of sentiment on returns of stock indexes. The causality tests show that there is a causal relationship, but the direction of causality remains unclear. Ultimately, our findings do not yield conclusive evidence regarding the precise nature of the sentiment-stock returns relationship.This thesis adds a recent analysis of the sentiment-returns relation to the related literature, by providing new evidence from a European perspective.