Analysing stock market data : market sentiment approach and its measures

This paper states that market sentiments are central to any financial data analysis. A vivid distinction is made between studying financial data in terms of the concept of volatility and in rapport to analysing financial data in terms of market sentiments. The former is an existing approach that is extensively used and the latter is a proposed tactic. Methods of devising constructs for defining relative and absolute market sentiments are also discussed. Patterns of market sentiments in terms of the model parameters are discussed and a few new measures that capture the hypothesized market sentiments are proposed. As an application of the proposed line of approach, this study analyses weekly market sentiments that govern Domestic Company Indices of Botswana Stock Exchange.