Theoretical and Applied Economics
No. 1 / 2023 (634), Spring
Market mood index and stock market. Evidence from National Stock Exchange
Central University of Rajasthan, India
Yogesh KUMAR
Central University of Rajasthan, India
Abstract. This study examines the time-series relationship between investor sentiment and the Indian stock market. Investor sentiment is measured through the market mood index (MMI); MII is a tool that shows the investor's emotions regarding the market and helps the investor, traders, etc., to know the current state of the market, i.e., extreme fear, fear, greed, extreme greed. Empirical results show that market sentiment generally lies between fear and greed mood. To check long-run relationships, we apply the Autoregressive Distributed lag test; the result shows a long-term relationship. Empirical results also show a bi-directional Granger causality relationship exists between the variables.
Keywords: investor sentiment, market mood index, market return, ARDl, Granger causality.
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