From: Trading stocks following sharp movements in the USDX, GBP/USD, and USD/CNY
Holding days | (1) | (2) | (3) | ||||||
---|---|---|---|---|---|---|---|---|---|
DJ30 | FTSE100 | SSE50 | |||||||
Returns | t-test | Returns | t-test | Returns | t-test | ||||
Panel A: Over 40% bullish investors’ sentiments measured by AAII sentiment survey | |||||||||
1 | 0.21% | 5.890 | *** | 0.21% | 7.497 | *** | 0.68% | 8.454 | *** |
2 | 0.38% | 7.563 | *** | 0.47% | 11.993 | *** | 1.39% | 12.106 | *** |
3 | 0.57% | 9.552 | *** | 0.71% | 15.496 | *** | 2.05% | 14.165 | *** |
4 | 0.73% | 10.666 | *** | 0.83% | 15.383 | *** | 2.85% | 16.586 | *** |
5 | 0.82% | 10.466 | *** | 0.95% | 15.828 | *** | 3.67% | 18.948 | *** |
Panel B: Over 50% bullish investors’ sentiments measured by AAII sentiment survey | |||||||||
1 | 0.06% | 0.713 | 0.20% | 3.383 | *** | 1.23% | 5.694 | *** | |
2 | 0.13% | 1.186 | 0.52% | 6.255 | *** | 1.71% | 5.582 | *** | |
3 | 0.45% | 3.342 | *** | 0.98% | 9.608 | *** | 2.83% | 6.677 | *** |
4 | 0.51% | 3.299 | *** | 1.10% | 9.050 | *** | 3.90% | 7.764 | *** |
5 | 0.60% | 3.345 | *** | 1.06% | 7.405 | *** | 4.25% | 7.500 | *** |