投资者情绪与摩洛哥和突尼斯金融市场股票收益之间的因果关系
Causality between investor sentiment and the shares return on the Moroccan and Tunisian financial markets
AI总结：
本文研究摩洛哥和突尼斯金融市场中投资者情绪与股票收益的因果关系，发现盈利性导致投资者情绪而非相反，且两者存在显著正向关系但情绪不可预测。
摘要：
本文旨在检验投资者情绪与两个新兴金融市场（摩洛哥和突尼斯）上市股票盈利性之间的关系。研究使用了投资者情绪的两个间接指标：SENT和ARMS。这些情绪指标表明，股票收益与投资者情绪之间存在重要关系。事实上，通过历史观测值对投资者情绪进行建模的结果显示，情绪具有弱记忆性；另一方面，情绪变化序列具有显著记忆性。股票收益与投资者情绪之间的Granger因果检验结果表明，在所研究的两个金融市场中，盈利性导致了投资者情绪，而非相反。通过估计投资者情绪、情绪变化、股票收益和股票收益变化之间的四个自回归关系，我们首先发现收益能够预测情绪变化，这证实了我们的假设；其次，盈利性的变化对投资者情绪产生负面影响。我们得出结论，无论使用何种情绪指标，投资者情绪与盈利性之间均存在显著的正向关系，但情绪无法通过我们的各种变量进行预测。
英文摘要：
This paper aims to test the relationship between investor sentiment and the profitability of stocks listed on two emergent financial markets, the Moroccan and Tunisian ones. Two indirect measures of investor sentiment are used, SENT and ARMS. These sentiment indicators show that there is an important relationship between the stocks returns and investor sentiment. Indeed, the results of modeling investor sentiment by past observations show that sentiment has weak memory; on the other hand, series of changes in sentiment have significant memory. The results of the Granger causality test between stock return and investor sentiment show us that profitability causes investor sentiment and not the other way around for the two financial markets studied.Thanks to four autoregressive relationships estimated between investor sentiment, change in sentiment, stock return and change in stock return, we find firstly that the returns predict the changes in sentiments which confirms with our hypothesis and secondly, the variation in profitability negatively affects investor sentiment.We conclude that whatever sentiment measure is used there is a positive and significant relationship between investor sentiment and profitability, but sentiment cannot be predicted from our various variables.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
