Investor Sentiment by Money Flow Index and Stock Return

Lai Cao Mai Phuong


Factors affecting stock prices have been studied by many scholars on different stock markets. However, the number of empirical studies applying technical analysis indicators to measure investor sentiment is quite limited. To explore this interesting topic, this study uses the Money Flow Index (MFI) indicator to measure an investor's sentiment by various thresholds and to test its effect on the excess return on Vietnam stock market. Data series including market, interest rate, finance and transaction data of 138 companies listed on the Ho Chi Minh City Stock Exchange from 2015 to June 2020 are used in the equations Regression. The study's findings show that, after controlling for market factors, individual characteristics and liquidity of each company, investor sentiment as measured by the MFI indicator still has a significant impact on the return of stocks at all thresholds. In addition, when the MFI value area is near the starting and ending point of the scale (less than 20, greater than 80), the regression coefficients of these two thresholds and control variables both increase compared to the remaining models, return and significant effect to the excess return of the securities.

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This work is licensed under a Creative Commons Attribution 4.0 International License.

This journal is licensed under a Creative Commons Attribution 4.0 License.

International Journal of Financial Research
ISSN 1923-4023(Print)ISSN 1923-4031(Online)


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