This paper studies whether investor sentiment can predict future Mexican stock market returns. Furthermore, we examine the dynamic correlation between sentiment and returns. Lastly, we examine whether sentiment innovations influence unexpected returns. We find that sentiment has significant...

In this paper we assess the effect of a high frequency investor sentiment measure, captured by aggregating search volume indices (SVI) for a set of economically negative and relevant search terms and its effect on returns of cross-listed securities indices. Similar to US stock returns, the ADR's...

We examine the relationship between sentiment and Mexican stock market returns. Results suggest a positive dynamic relationship between rational Mexican sentiment and equity market returns. Results also reveal a spillover of US sentiment on the return generating process of the Mexican stock...