The effect of U.S. investor sentiment on cross-listed securities returns: A high-frequency approach

Date

2021

Authors

Gutierrez Pineda, Juan Pablo
Perez Liston, Daniel

Journal Title

Journal ISSN

Volume Title

Publisher

MDPI

Abstract

This paper studies the impact of a high-frequency investor sentiment measure (New FEARS) on the returns of foreign securities listed in U.S. markets as American Depository Receipts (ADRs). We recreate a high-frequency investor sentiment measure by aggregating search volume indices (SVIs) for a set of negative economic search terms. We find that ADR aggregate market returns exhibit a negative reaction to increases in searches for negative economic terms such as “recession”, “crisis”, and “bankruptcy” by U.S. households. This is the first paper to measure the effects of high-frequency investor sentiment on cross-listed securities. Moreover, the results are consistent throughout our study regardless of the variation of sentiment and aggregate market return measure we use. We also explore ADR regional market indices and show that Latin American ADRs are more sensitive to this investor sentiment measure.

Description

Keywords

American depositary receipts, Investor sentiment, Search volume index

Citation

This is the published version of an article that is available at https://doi.org/10.3390/jrfm14100491. Recommended citation: Gutierrez Pineda, J. P., & Perez Liston, D. (2021). The effect of U.S. investor sentiment on cross-listed securities returns: A high-frequency approach. Journal of Risk and Financial Management, 14(10), 491. This item has been deposited in accordance with publisher copyright and licensing terms and with the author’s permission.