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2015 Conference

October 15–16, 2015

Orlando, FL

Welcome to the AFS Conference 2015 Schedule App. Please use the search features to see when your session or poster has been scheduled to take place. 

Investor Sentiment and Mexican Stock Returns A VAR Approach

Thursday, October 15, 2015 at 2:05 PM–3:35 PM EDT
3-Senate
Keywords: 5 words maximum

Investor Sentiment, Returns, VAR, Mexico

Very short description for use in the program to help attendees understand more than a title can describe

In this study, we estimate vector autoregressive models (VAR) to determine whether investor sentiment and Mexican stock market returns are related in a dynamic setting. Due to the importance of the exchange rate, we also include this variable in the estimations. The results from VAR estimations suggest that rational and irrational investor sentiment have a positive impact on Mexican stock market returns. Conversely, the Mexican stock returns also have a positive impact on investor sentiment, suggesting that there is a dynamic feedback between both variables.

Lead & Corresponding Author

Daniel Perez, PhD, University of St. Thomas-Houston
Job Title

Finance Professor

Additional Authors

Juan Pablo Gutierrez, University of Texas-Pan American
Job Title
Daniel Huerta, College of Charleston
Job Title

Finance Professor

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