Pillada Naga, Rangasamy Sangeetha
School of Business and Management, CHRIST Deemed to Be University, Hosur Rd, Bengaluru, Karnataka 560029 India.
Present Address: Platinum Gardenia, A 030, Kembathalli Main Road, JP Nagar 8th Phase, Bengaluru, Karnataka 560083 India.
SN Bus Econ. 2023;3(2):55. doi: 10.1007/s43546-023-00434-3. Epub 2023 Jan 25.
Understanding how an irrational investors' sentiment affects the realty market returns, especially during the pandemic, is imperative to take any financial decisions. The effect of investor sentiment on the movement of the realty market leading to market volatility is dynamically represented in a numerical form. The study incorporates daily market data and their implicit indices to construct a sector-specific investor sentiment index by using the principal component analysis method. To analyse the relationship between the variables, a quantitative approach is used by incorporating an econometric model-dynamic conditional correlation-generalized autoregressive conditional heteroskedasticity (DCC-GARCH). The directionality of the relationship between the variables is assessed by the Diebold-Yilmaz method. This study is done to investigate the return deviation in the realty sector due to sentiment impact during the pandemic in the Indian context. The findings indicate the existence of an asymmetric impact of the sentiment, leading to extreme volatility and returns in the realty sector. The results confirmed the presence of bi-directional relationship between asset returns and investor sentiment and quantified the relationship numerically. This study focused on the development, applicability, and validity of a sentiment index pertaining to the Indian realty sector. This study highlights the impact of a qualitative non-fundamental factor like sentiment as a measurable factor in determining the volatility on market returns.
了解非理性投资者情绪如何影响房地产市场回报，尤其是在疫情期间，对于做出任何财务决策至关重要。投资者情绪对房地产市场走势进而导致市场波动的影响以数字形式动态呈现。该研究纳入每日市场数据及其隐含指数，运用主成分分析法构建特定行业的投资者情绪指数。为分析变量之间的关系，采用了一种定量方法，即纳入计量经济模型——动态条件相关——广义自回归条件异方差模型（DCC - GARCH）。变量之间关系的方向性通过迪博尔德 - 伊尔马兹方法进行评估。本研究旨在调查印度背景下疫情期间房地产行业因情绪影响而产生的回报偏差。研究结果表明情绪存在不对称影响，导致房地产行业出现极端波动和回报。结果证实了资产回报与投资者情绪之间存在双向关系，并对该关系进行了数值量化。本研究聚焦于印度房地产行业情绪指数的发展、适用性和有效性。本研究强调了情绪这种定性的非基本面因素作为一个可衡量因素在决定市场回报波动方面的影响。
