Kumar Rajesh, K S Sujit
Institute of Management Technology, Dubai, United Arab Emirates.
School of Business and Management, Christ University, India.
Heliyon. 2024 Apr 25;10(9):e30217. doi: 10.1016/j.heliyon.2024.e30217. eCollection 2024 May 15.
This study aims to introduce an integrated model for understanding the influence of various sentimental factors in conjunction with macroeconomic factors on portfolio returns across ten industry sectors within the US market. These sentimental factors are categorized into market-wide, consumer, and individual stock market factors to assess their impact on industry portfolio returns. Employing the Autoregressive Distributed Lag (ARDL) model, the study evaluates the effects of macroeconomic and sentimental factors on stock market portfolio returns. The findings reveal a negative relationship between short-term interest rates and portfolio returns in specific industry sectors like manufacturing, telecom, and wholesale/retail. The study finds a positive relationship between the Hi-tech sector's risk spread and portfolio returns. Market sentimental factors positively influence portfolio returns of durable, non-durable, utility, and other sectors. Individual sentimental factors negatively impact portfolio returns in hi-tech, utility, durable, energy, and other sectors. The stock market-related individual, sentimental factor of the number of IPOs has a positive impact on portfolio returns in the energy sector and a negative impact on portfolio returns in other sectors. Consumer sentimental factors are significant positive determinants for portfolio returns in durable, energy, telecom, health, and other sectors. Discounts on closed-end funds may provide vital fundamental information regarding lower future earnings for stocks in the durable and energy sectors. The study provides valuable insights for investors to optimize their portfolio strategies in response to macroeconomic and sentimental factors within specific industry sectors.
本研究旨在引入一个综合模型，以理解各种情感因素与宏观经济因素相结合对美国市场十个行业板块投资组合回报的影响。这些情感因素被分为市场范围、消费者和个股市场因素，以评估它们对行业投资组合回报的影响。本研究采用自回归分布滞后（ARDL）模型，评估宏观经济和情感因素对股票市场投资组合回报的影响。研究结果显示，在制造业、电信业和批发/零售业等特定行业板块中，短期利率与投资组合回报之间存在负相关关系。研究发现，高科技行业的风险利差与投资组合回报之间存在正相关关系。市场情感因素对耐用消费品、非耐用消费品、公用事业及其他行业的投资组合回报有积极影响。个体情感因素对高科技、公用事业、耐用消费品、能源及其他行业的投资组合回报有负面影响。与股票市场相关的首次公开募股数量这一个体情感因素，对能源行业的投资组合回报有积极影响，而对其他行业的投资组合回报有负面影响。消费者情感因素是耐用消费品、能源、电信、医疗及其他行业投资组合回报的重要正向决定因素。封闭式基金的折价可能为耐用消费品和能源行业股票未来盈利降低提供重要的基本面信息。本研究为投资者根据特定行业板块内的宏观经济和情感因素优化其投资组合策略提供了有价值的见解。
