The Effects of Confidence Index-Based Investor Sentiments Conditional upon Market Movements on European Stock Market Returns
ESKISEHIR OSMANGAZI UNIVERSITESI IIBF DERGISI-ESKISEHIR OSMANGAZI UNIVERSITY JOURNAL OF ECONOMICS AND ADMINISTRATIVE SCIENCES, cilt.21, sa.2, ss.166-194, 2026 (ESCI)
- Yayın Türü: Makale / Tam Makale
- Cilt numarası: 21 Sayı: 2
- Basım Tarihi: 2026
- Doi Numarası: 10.17153/oguiibf.1769490
- Dergi Adı: ESKISEHIR OSMANGAZI UNIVERSITESI IIBF DERGISI-ESKISEHIR OSMANGAZI UNIVERSITY JOURNAL OF ECONOMICS AND ADMINISTRATIVE SCIENCES
- Derginin Tarandığı İndeksler: Emerging Sources Citation Index (ESCI)
- Sayfa Sayıları: ss.166-194
- İstanbul Üniversitesi Adresli: Evet
Özet
The aim of this research is to analyze the effects of rational and irrational investor sentiments on 13 European stock markets by considering the asymmetric reactions of the investors to macroeconomics developments conditional upon market movements. We use monthly data over the sample period of February 2005 to December 2024 and implement panel data analyses. The results show that all investor sentiments derived from conditional models are statistically significant in explaining market returns and implementing conditional method increases the explanation power of the models. We find the evidence of bilateral causal relations as well as significant reciprocal responses among market returns and irrational sentiments.