Some evidence from a principal component approach to measure a new investor sentiment index in the Tunisian stock market

Volume: 46, Issue: 3, Pages: 401 - 420
Published: Dec 16, 2019
Abstract
Purpose The purpose of this paper is to study a novel and direct measurement of investor sentiment index in the Tunisian stock market that overcomes the weaknesses of a well-known investor sentiment index by Baker and Wurgler (2006, 2007). Design/methodology/approach Based on the data of 43 firms of the Tunisian stock market index (Tunindex) over the period 2004–2016, the author constructs a monthly investor sentiment that reflects both the...
Paper Details
Title
Some evidence from a principal component approach to measure a new investor sentiment index in the Tunisian stock market
Published Date
Dec 16, 2019
Volume
46
Issue
3
Pages
401 - 420
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