Does Investor Sentiment Influence South African ETF Flows During Different Market Conditions?
The exponential growth in popularity of ETFs over the last three decades has solidified ETFs as an essential component of many investors’ portfolios. Investor sentiment is one of the factors that influence market returns of ETFs during times of market volatility. This article highlights the gap in t...
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| Format: | Article |
| Language: | English |
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MDPI AG
2025-01-01
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| Series: | Economies |
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| Online Access: | https://www.mdpi.com/2227-7099/13/1/10 |
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| author | Paidamoyo Aurleen Shenjere Sune Ferreira-Schenk Fabian Moodley |
| author_facet | Paidamoyo Aurleen Shenjere Sune Ferreira-Schenk Fabian Moodley |
| author_sort | Paidamoyo Aurleen Shenjere |
| collection | DOAJ |
| description | The exponential growth in popularity of ETFs over the last three decades has solidified ETFs as an essential component of many investors’ portfolios. Investor sentiment is one of the factors that influence market returns of ETFs during times of market volatility. This article highlights the gap in the literature by examining the role sentiment plays in ETF volatility and providing a more comprehensive understanding of how sentiment interacts with market conditions to affect ETF pricing in the South African context. This article aims to determine the effect of investor sentiment on JSE-listed ETF returns under changing market conditions. The study followed a quantitative methodology using monthly closing prices of seven JSE ETFs and an investor sentiment index. A sample period from October 2008 to December 2023 was used. For a more complex understanding of how sentiment evolved and influenced market regimes, the Markov regime-switching model was integrated with Principal Component Analysis. The results found that investor sentiment had a significant impact on most of the ETFs in both the bull and bear regimes. The bull market was more dominant than the bear market across the ETF returns. Therefore, investor sentiment affected the returns of JSE ETFs. Identifying the effect of investor sentiment on ETFs results in ETF portfolios being less affected by changing market conditions by using risk management techniques and diversifying across asset classes and investing methods. |
| format | Article |
| id | doaj-art-76228486c0844cfe8878a1625ddaaee9 |
| institution | Kabale University |
| issn | 2227-7099 |
| language | English |
| publishDate | 2025-01-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Economies |
| spelling | doaj-art-76228486c0844cfe8878a1625ddaaee92025-01-24T13:30:00ZengMDPI AGEconomies2227-70992025-01-011311010.3390/economies13010010Does Investor Sentiment Influence South African ETF Flows During Different Market Conditions?Paidamoyo Aurleen Shenjere0Sune Ferreira-Schenk1Fabian Moodley2School of Economic Science, North-West University, Gauteng 1174, South AfricaSchool of Economic Science, North-West University, Gauteng 1174, South AfricaSchool of Economic Science, North-West University, Gauteng 1174, South AfricaThe exponential growth in popularity of ETFs over the last three decades has solidified ETFs as an essential component of many investors’ portfolios. Investor sentiment is one of the factors that influence market returns of ETFs during times of market volatility. This article highlights the gap in the literature by examining the role sentiment plays in ETF volatility and providing a more comprehensive understanding of how sentiment interacts with market conditions to affect ETF pricing in the South African context. This article aims to determine the effect of investor sentiment on JSE-listed ETF returns under changing market conditions. The study followed a quantitative methodology using monthly closing prices of seven JSE ETFs and an investor sentiment index. A sample period from October 2008 to December 2023 was used. For a more complex understanding of how sentiment evolved and influenced market regimes, the Markov regime-switching model was integrated with Principal Component Analysis. The results found that investor sentiment had a significant impact on most of the ETFs in both the bull and bear regimes. The bull market was more dominant than the bear market across the ETF returns. Therefore, investor sentiment affected the returns of JSE ETFs. Identifying the effect of investor sentiment on ETFs results in ETF portfolios being less affected by changing market conditions by using risk management techniques and diversifying across asset classes and investing methods.https://www.mdpi.com/2227-7099/13/1/10bear marketbull marketETFSinvestor sentimentJSE |
| spellingShingle | Paidamoyo Aurleen Shenjere Sune Ferreira-Schenk Fabian Moodley Does Investor Sentiment Influence South African ETF Flows During Different Market Conditions? Economies bear market bull market ETFS investor sentiment JSE |
| title | Does Investor Sentiment Influence South African ETF Flows During Different Market Conditions? |
| title_full | Does Investor Sentiment Influence South African ETF Flows During Different Market Conditions? |
| title_fullStr | Does Investor Sentiment Influence South African ETF Flows During Different Market Conditions? |
| title_full_unstemmed | Does Investor Sentiment Influence South African ETF Flows During Different Market Conditions? |
| title_short | Does Investor Sentiment Influence South African ETF Flows During Different Market Conditions? |
| title_sort | does investor sentiment influence south african etf flows during different market conditions |
| topic | bear market bull market ETFS investor sentiment JSE |
| url | https://www.mdpi.com/2227-7099/13/1/10 |
| work_keys_str_mv | AT paidamoyoaurleenshenjere doesinvestorsentimentinfluencesouthafricanetfflowsduringdifferentmarketconditions AT suneferreiraschenk doesinvestorsentimentinfluencesouthafricanetfflowsduringdifferentmarketconditions AT fabianmoodley doesinvestorsentimentinfluencesouthafricanetfflowsduringdifferentmarketconditions |