2015 Conference
October 15–16, 2015
Orlando, FL
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Investor Sentiment and Mexican Stock Returns A VAR Approach
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