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INTERNATIONAL JOURNAL OF ADVANCED RESEARCH IN COMMERCE, MANAGEMENT & SOCIAL SCIENCE (IJARCMSS) [ Vol. 9 | No. 2 (I) | April - June, 2026 ]

An Empirical Investigation of Investor Sentiment and Nifty 50 Returns Using VAR and ARDL Approaches

Prof. Praveen Sahu, Dr. Neha Seth & Yogesh Kumar

This study focuses on the link between investor sentiment and Nifty 50 returns in the Indian stock exchange market within the framework of behavioural finance. The paper explores both the short-term and long-term links through two methodologies: VAR Granger Causality testing and the ARDL framework. According to the VAR Granger causality tests, there is a mutual causal link between investor sentiment and Nifty 50 returns. In addition to this, there is a long-term link between investor sentiment and market returns based on the ARDL bound testing results. This means that changes in investor sentiment affect the market returns in the long term. The overall results point out the significant effect of behavioural factors in the price formation in the Indian stock market and that investor sentiment plays a dual role in market fluctuations.

Sahu, P., Seth, N. & Kumar, Y. (2026). An Empirical Investigation of Investor Sentiment and Nifty 50 Returns Using VAR and ARDL Approaches. International Journal of Advanced Research in Commerce, Management & Social Science, 09(02(I)), 212–221. https://doi.org/10.62823/IJARCMSS/09.02(I).8927
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DOI:

Article DOI: 10.62823/IJARCMSS/09.02(I).8927

DOI URL: https://doi.org/10.62823/IJARCMSS/09.02(I).8927

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