アラビアン・ジャーナル・オブ・ビジネス・アンド・マネジメント・レビュー

Investor Sentiment Measurement Techniques: A Review of Literature

Abstract

Afef Amdouni

Within the conceptual framework of behavioral finance, our interest is based on investor sentiment that allows us to understand investors' decisions in uncertain situations and their consequences on stock price movements. In this context, the main objective of this article is to investor sentiment through its measurement methods which help to examine its relationship with the profitability and volatility of equities. To do this, we began by introducing the concept of “investor sentiment” and its measurement indicators which are very diverse because of the non-consensus on a single definition of investor sentiment. We have distinguished these indicators using three methods (direct, indirect and composite) to clarify the interests and limitations of each measurement method.