Market Sentiment Deterioration and Stock Returns: The Case of the Japanese Electric Appliances Industry

This paper aims to clarify the characteristics of the return dynamics of the Japanese electric appliances industry stocks in markets with deteriorated investor sentiment. The contributions derived by our empirical analysis are as follows. First, this paper newly clarifies that high beta stocks show conjunctional behavior when investor sentiment is deteriorated in stock markets. Second, we also clarify that high size stocks also exhibit conjunctional behaviors in markets with deteriorated sentiment. Moreover, we further demonstrate that the conjunctional behaviors of high beta stocks and high size stocks do not have the same behavioral characteristics in markets with extremely declined investor sentiment.