If global or local investor sentiments are prone to developing an impact on stock returns, is there an industry effect?

Abstract

This article investigates the heterogeneous impacts of either global or local investor sentiments (IS) on stock returns (SR). We study 10 industry sectors through the lens of six (so-called) emerging countries: China, Brazil, India, Mexico, Indonesia, and Turkey, over the 2000 to 2014 period. Using a panel data framework, our study sheds light on a significant effect of local IS on expected returns for basic materials, consumer goods, industrial, and financial industries. Moreover, our results suggest that from global IS alone, one cannot predict expected SR in these markets.