| dc.description.abstract | My dissertation endeavors to scrutinize the influence of market sentiment on profitability of Vietnam stock market from two approaches: traditional approach utilizing trading volume to quantify the sentiment and search-based approach employing Google Trends’ normalized volume indices as a gauge of investor attention. Using panel regression on a sample of 328 stocks on HOSE over the stage 2008-2017, it is evident that the financial market-based sentiment, which is measured by trading volume, is positively correlated with individual stock and market returns after incorporating company specific characteristics and macroeconomic variables. From search-based approach, by combining application of statistical tools like Granger Causality test and Vector Autoregressive model, my findings show that Googling investor sentiment possesses a significant causal relationship with market performance. Specifically, a high search volume index anticipates lower market return and higher market volatility in the first following week, with subsequent trend reversals. This study has gone some ways towards enhancing understanding of the empirical sentiment-return relationship in emerging markets, such as Vietnam, and so far contributed to practical aspect by providing information for professional investors and policymakers in their decision making. | en_US |
