تحقیقات جهانی بازار بورس

Sensitivity of trading intensity to optimistic and pessimistic beliefs: Evidence from the French stock market☆

In this paper, we will offer some evidence indicating that investor sentiment plays a central role in explaining trading intensity and market trend changes. Based on both econometric and fuzzy logic approaches, the empirical findings show that pessimistic sentiment has a particularly significant impact on the French financial market trend. Moreover, the results suggest that the impact of pessimism on asset returns exceeds that of optimism as a direct indicator of investor’s beliefs. Indirect indicators of agent sentiment present more smoothed effects on these two market components. Our results indicate that incorporating psychological factors in macro-financial models leads to better supervision and control of the main drivers of the markets.

 

Keywords

Trading intensity
Market trend
Animal spirits
Fuzzy logic

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