Political cycle, investor sentiment and stock returns

Hu, Feiyuan (2022) Political cycle, investor sentiment and stock returns. MPhil(R) thesis, University of Glasgow.

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In this paper, we test the mediator and moderator hypothesis in the relations among political cycles, investor sentiment and stock market returns. By using sentiment indicators like Baker and Wurgler’s (2006) sentiment index (BW), the Conference Board Consumer Confidence Index (CCI), the University of Michigan’s Consumer Sentiment Index (MCSI) and the Economic Policy Uncertainty Index (EPU) of Baker et al. (2016) from December 1965 to December 2018, we find only BW and MCSI function as a mediator between political cycles and stock markets. And the indirect effect via BW accounts for larger proportion (16.34%) of total effect than that via MCSI (4.87%). The direct effect still accounts for the major part of the total effect of political cycles on stock markets. The moderator hypothesis does not apply to the three-variable system of political cycles, investor sentiment and stock markets although the interaction term of political cycle and investor sentiment is significant.

Item Type: Thesis (MPhil(R))
Qualification Level: Masters
Subjects: H Social Sciences > HG Finance
Colleges/Schools: College of Social Sciences > Adam Smith Business School > Accounting and Finance
Supervisor's Name: Hung, Dr. David and Chen, Professor Cathy Yi-Hsuan
Date of Award: 2022
Depositing User: Theses Team
Unique ID: glathesis:2022-83626
Copyright: Copyright of this thesis is held by the author.
Date Deposited: 07 Jun 2023 11:10
Last Modified: 07 Jun 2023 11:10
Thesis DOI: 10.5525/gla.thesis.83626
URI: https://theses.gla.ac.uk/id/eprint/83626

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