Incorporating investor behaviour in portfolio management in developed and emerging OECD stock markets

• Autorzy: Yacob Nathrah , Mustapha Marina , Abdullah Siti Mariam Melissa , Ya’acob Fatin Farazh

Identyfikatory

DOI

10.17512/pjms.2020.22.1.39

Warianty tytułu

PL

Włączanie zachowań inwestorów w zarządzanie portfelem na rozwiniętych i pojawiających się rynkach giełdowych OECD

• Języki publikacji: EN

Abstrakty

EN

This paper aims to empirically investigate whether the investor sentiments could be employed to predict the returns of world stock market by engaging fourteen developed and emerging OECD countries. This study is novel in such that it incorporates both traditional finance theory and the behavioural finance, both from two different paradigms in finance. The massive data are examined using ARDL (p, q) model of panel data that spans from 2004 to 2018, which incorporates Pearson correlation and Dickey-Fuller regression analysis. Apart from the core stock market returns and consumer confidence indices, the study also integrates several macroeconomic fundamentals, which include money supply, inflation, interest rates, and effective exchange rates, as the possible behavioural explanatory variables. Empirical study results show only volatility of developed stock markets returns hold significant long-run effect with the investors’ sentiment whilst emerging markets showed only mild existence. However, the effects are temporary, which means it may not be able to systematically predict the future behaviours of the returns.

PL

Artykuł ma na celu empiryczne zbadanie, czy nastroje inwestorów można wykorzystać do przewidywania zwrotów z światowego rynku akcji, angażując czternaście rozwiniętych i wschodzących krajów OECD. Badanie to jest nowatorskie, ponieważ obejmuje zarówno tradycyjną teorię finansów, jak i finanse behawioralne, oba z dwóch różnych paradygmatów w finansach. Ogromne dane są badane przy użyciu modelu ARDL (p, q) danych panelowych obejmujących lata 2004-2018, który obejmuje korelację Pearsona i analizę regresji Dickeya-Fullera. Oprócz podstawowych zwrotów z rynku akcji i wskaźników zaufania konsumentów w badaniu uwzględniono również kilka fundamentów makroekonomicznych, w tym podaż pieniądza, inflację, stopy procentowe i efektywne kursy walutowe, jako możliwe behawioralne zmienne objaśniające. Wyniki badań empirycznych pokazują, że jedynie zmienność zwrotów z rynków rozwiniętych ma znaczący długoterminowy wpływ na nastroje inwestorów, podczas gdy rynki wschodzące wykazywały jedynie łagodne istnienie. Skutki są jednak tymczasowe, co oznacza, że może nie być w stanie systematycznie przewidywać przyszłych zachowań zwrotów.

Słowa kluczowe

EN

investors; sentiments; stock market returns; autoregressive distributive lag

PL

inwestorzy; nastroje; zwroty giełdowe; opóźnienie dystrybucyjne autoregresywne

• Wydawca: Czestochowa University of Technology
• Czasopismo: Polish Journal of Management Studies
• Rocznik: 2020
• Tom: Vol. 22, No. 1
• Strony: 611--625
• Opis fizyczny: Bibliogr. 32 poz., tab.

Twórcy

autor

Yacob Nathrah

• Inti International University and Colleges, Malaysia

autor

Mustapha Marina

• Taylors University, Malaysia

autor

Abdullah Siti Mariam Melissa

• Inti International University and Colleges, Malaysia

autor

Ya’acob Fatin Farazh

• UITM Johor, Malaysia

Bibliografia

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Uwagi

Opracowanie rekordu ze środków MNiSW, umowa Nr 461252 w ramach programu "Społeczna odpowiedzialność nauki" - moduł: Popularyzacja nauki i promocja sportu (2021).