Construction of Investor Sentiment Index in the Chinese Stock Market

被引：5

作者：

Yang, Yuxi ^{[1
]}

Hasuike, Takashi ^{[1
]}

机构：

[1] Waseda Univ, Fac Sci & Engn, Shinjuku Ku, 3-4-1 Okubo, Tokyo 1698555, Japan

来源：

2017 6TH IIAI INTERNATIONAL CONGRESS ON ADVANCED APPLIED INFORMATICS (IIAI-AAI) | 2017年

关键词：

investor sentiment; Chinese stock market; behavioral finance;

D O I：

10.1109/IIAI-AAI.2017.93

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

This paper focuses on improving the adaptability of the investor sentiment index introduced by Baker and Wurgler[1] in the Chinese stock market. Considering not all the original proxies for sentiment are suitable for Chinese stock market, a new combination of proxies to form the investor sentiment index is proposed. Based on this investor sentiment index, the relationship between investor sentiment and stock price index in Chinese stock market is found.

引用

页码：23 / 28

页数：6

共 5 条

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Baker, Malcolm
Wurgler, Jeffrey
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[2] Changsheng Hu, 2012, FINANCIAL REV, V6, P46
[3] Fisher K. L., 2000, FINANCIAL ANAL J, V56, P16, DOI [DOI 10.2469/FAJ.V56.N2.2340, https://doi.org/10.2469/faj.v56.n2.2340]
[4] INVESTOR SENTIMENT AND THE CLOSED-END FUND PUZZLE
LEE, CMC
SHLEIFER, A
THALER, RH
[J]. JOURNAL OF FINANCE, 1991, 46 (01) : 75 - 109
[5] Do measures of investor sentiment predict returns?
Neal, R
Wheatley, SM
[J]. JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1998, 33 (04) : 523 - 547

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