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By extending Edmans et al.’s (2021) music sentiment measures to the Vietnam market, the authors aim to investigate the impacts of music sentiment on stock market returns and volatility.

The authors adopted Edmans et al.’s (2021) music-based sentiment to proxy for investor mood. The current study uses linear regression analysis.

The authors find that music sentiment is significantly and positively related to both stock returns and stock market volatility. The authors also show that music sentiment has a contagious effect: Global music sentiment and those in the United States, France and Hong Kong are significant drivers of the Vietnamese stock market. The authors also examine the effect on different industry returns and find that returns on stocks of firms in the communication services, consumer discretionary, consumer staples, energy, financials, healthcare, real-estate, information technology and utility sectors are significantly related to music sentiment. In addition to valence, the authors find that other Spotify audio features can be used to quantify music sentiment.

This study contributes to the behavioral finance literature that focuses on investor sentiment. The authors address this topic in Vietnam using high-frequency data.