Differences between NZ and U.S. individual investor sentiment: more noise or more information?

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dc.contributor.authorBialkowski, Jedrzej
dc.contributor.authorWagner M, Moritz
dc.contributor.authorWei X
dc.date.accessioned2025-01-06T22:40:41Z
dc.date.available2025-01-06T22:40:41Z
dc.date.issued2024
dc.description.abstractIn this study, we introduce a newly created sentiment index of individual investors in NZ constructed similar to the well-known sentiment index provided by the American Association of Individual Investors (AAII) in the U.S. This unique setup allows us to compare different aspects of investors’ behaviour in both countries. We show that NZ market participants are less confident about the directional movement of the stock market, their expectations are more volatile and their distributions have fatter tails. By contrast, both bullish and bearish sentiment is more persistent among U.S. investors. Furthermore, our analysis of return predictability reveals that both groups of investors behave as noise traders. However, the results for NZ investors are stronger. Overall, our findings call for better financial education, particularly in the area of equity investing.
dc.identifier.citationBiałkowski J, Wagner M, Wei X (2024). Differences between NZ and U.S. individual investor sentiment: more noise or more information?. New Zealand Economic Papers. 58(1). 74-86.
dc.identifier.doihttp://doi.org/10.1080/00779954.2023.2235751
dc.identifier.issn0077-9954
dc.identifier.issn1943-4863
dc.identifier.urihttps://hdl.handle.net/10092/107854
dc.languageen
dc.publisherInforma UK Limited
dc.rights© 2023 The Author(s). Published by Informa UK Limited, trading as Taylor & Francis Group. This is an Open Access article distributed under the terms of the Creative Commons Attribution-NonCommercial-NoDerivatives License (http://creative commons.org/licenses/by-nc-nd/4.0/), which permits non-commercial re-use, distribution, and reproduction in any medium, provided the original work is properly cited, and is not altered, transformed, or built upon in any way. The terms on which this article has been published allow the posting of the Accepted Manuscript in a repository by the author(s) or with their consent.
dc.rights.urihttp://hdl.handle.net/10092/17651
dc.subjectAAII sentiment index
dc.subjectinformation traders
dc.subjectnoise traders
dc.subjectNZ sentiment index
dc.subjectreturn predictability
dc.subject.anzsrc35 - Commerce, management, tourism and services::3502 - Banking, finance and investment::350205 - Household finance and financial literacy
dc.subject.anzsrc35 - Commerce, management, tourism and services::3502 - Banking, finance and investment::350208 - Investment and risk management
dc.subject.anzsrc35 - Commerce, management, tourism and services::3502 - Banking, finance and investment::350202 - Finance
dc.titleDifferences between NZ and U.S. individual investor sentiment: more noise or more information?
dc.typeJournal Article
uc.collegeUC Business School
uc.departmentDepartment of Economics and Finance
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