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I came up with the idea of dealing with investor's sentiment effect in stock market in my thesis.

I would like to know which proxies you would suggest to use as sentiment index and from which source I can get data.

Next to that I would like to find data on certain industries performance so I'm looking for industry performance index.

Where can i have access to that given that my university doesn't have access to Bloomberg?

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    $\begingroup$ do you have access to price data and some industry classification maybe gics ? What data does your university has access to ? $\endgroup$ – NegativeJo Feb 28 '16 at 9:21
  • $\begingroup$ This questions would have been closed if you had only asked for data. About this topic, please refer to this question. $\endgroup$ – SRKX Apr 15 '16 at 3:15
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VIX is probably the first thing you should look at and is probably everyone's favorite sentiment indicator, so you can find it anywhere (usually ^VIX or $VIX).

COT is my second favorite indicator and it can be used as a sentiment indicator even though all it does is show the hands of the market participants with a big 2 week lag. Like everything else, most of the time COT is just noise, but when the commercials and the small speculators are in complete disagreement and both levels are outside of the 95th percentile, then it becomes an extremely accurate indicator of market tops and bottoms. The theory is that 99% of all active traders (represented by the small speculators) lose money. Compile the COT yourself from raw data here: http://www.cftc.gov/MarketReports/CommitmentsofTraders/HistoricalCompressed/index.htm

My third favorite contrarian indicator is the NYSE Advance-Decline Index. You can compile a cumulative indicator using free end-of-day data and when the level goes outside the 95th percentile, then it is pretty good at showing the turning points of the market from a contrarian standpoint. One such source is Kinetick from the Ninjatrader platform (^ADV and ^DECL).

I've tried to use the AAII Bull/Bear sentiment index in my trading many times and found it of little value. Perhaps it has become too popular and no longer works?

Another fairly obscure sentiment indicator is the magazine-covers indicator. I don't take it too seriously, but I do glance at the covers occasionally. The theory is that if a stock market-related issue appears on a mainstream, non-financial publication, then the issue is already overbought or oversold. I don't think this is reliable enough by itself, and is too subjective to be taken seriously, but it can be used as a confirmation to other indicators. You can get all the Time magazine covers going back to 1923 from here: http://search.time.com/results.html?No=315&sid=1537CD7ED1E9&Ns=p_date_range|1&N=46&Nty=1 The most recent two years are in separate pages: http://time.com/vault/year/2015/ http://time.com/vault/year/2016/

Regarding sector performance, I also recommend looking at ETFs. I just glance at the lists before making long-term decisions. But, you could compile much more sophisticated performance studies from ETF price data that is freely available everywhere.

http://seekingalpha.com/insight/etf-hub/asset_class_performance/countries http://seekingalpha.com/insight/etf-hub/asset_class_performance/sectors

I also like to look at sector heatmaps from time to time: http://www.finviz.com/map.ashx?t=sec

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  • $\begingroup$ I have already used CCI and VIX in my regressions. However I am thinking of examining more investor sentiment by trying to analyze data from the internet.. for example google trends. Is there a way to download data? Moreover I have seen in many papers that they make use of social media to investigate investor sentiment. Do you know what is the methodology behind this? Thank you again $\endgroup$ – Jay92 Jul 30 '16 at 17:42
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A widely used sentiment index is the AAII Bull/Bear sentiment index - historical data is available on Bloomberg and probably other data sources.

Regarding industry performance, there are plenty of sector indices - for example in Europe you have the Stoxx sector indices, in the US you have the S&P level 1 sector indices.

You can also find plenty of ETFs, for example the Select Sector Spider funds which are listed (i.e. you should be able to get data from most free data providers).

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