A principal component approach to measuring investor sentiment in China

被引：63

作者：

Chen, Haiqiang ^{[1
]}

Chong, Terence Tai Leung ^{[2
,3
,4
]}

She, Yingni ^{[1
]}

机构：

[1] Xiamen Univ, Wang Yanan Inst Studies Econ, Xiamen, Peoples R China

[2] Chinese Univ Hong Kong, Dept Econ, Shatin, Hong Kong, Peoples R China

[3] Chinese Univ Hong Kong, Inst Global Econ & Finance, Shatin, Hong Kong, Peoples R China

[4] Nanjing Univ, Dept Int Econ & Trade, Nanjing, Jiangsu, Peoples R China

来源：

QUANTITATIVE FINANCE | 2014年 / 14卷 / 04期

基金：

中国国家自然科学基金;

关键词：

THRESHOLD; MARKET; BULL;

D O I：

10.1080/14697688.2013.869698

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

[No abstract available]

引用

页码：573 / 579

页数：7

共 20 条

[1] Market liquidity as a sentiment indicator [J].

Baker, M ;

Stein, JC .

JOURNAL OF FINANCIAL MARKETS, 2004, 7 (03) :271-299

[2] Investor sentiment in the stock market [J].

Baker, Malcolm ;

Wurgler, Jeffrey .

JOURNAL OF ECONOMIC PERSPECTIVES, 2007, 21 (02) :129-151

[3] Investor sentiment and the cross-section of stock returns [J].

Baker, Malcolm ;

Wurgler, Jeffrey .

JOURNAL OF FINANCE, 2006, 61 (04) :1645-1680

[4] Investor sentiment and asset valuation [J].

Brown, GW ;

Cliff, MT .

JOURNAL OF BUSINESS, 2005, 78 (02) :405-440

[5]

Brown GW., 2004, Journal of Empirical Finance, V11, P1, DOI [DOI 10.1016/J.JEMPFIN.2002.12.001, 10.1016/j.jempfin.2002.12.001]

[6] THEORY AND APPLICATIONS OF TAR MODEL WITH TWO THRESHOLD VARIABLES [J].

Chen, Haiqiang ;

Chong, Terence Tai-Leung ;

Bai, Jushan .

ECONOMETRIC REVIEWS, 2012, 31 (02) :142-170

[7] A principal-component approach to measuring investor sentiment [J].

Chen, Haiqiang ;

Chong, Terence Tai-Leung ;

Duan, Xin .

QUANTITATIVE FINANCE, 2010, 10 (04) :339-347

[8] New Evidence on the Relation between Return Volatility and Trading Volume [J].

Chiang, Thomas C. ;

Qia, Zhuo ;

Wong, Wing-Keung .

JOURNAL OF FORECASTING, 2010, 29 (05) :502-515

[9] Is the Chinese stock market really inefficient? [J].

Chong, Terence Tai-Leung ;

Lam, Tau-Hing ;

Yan, Isabel Kit-Ming .

CHINA ECONOMIC REVIEW, 2012, 23 (01) :122-137

[10]

Fisher K. L., 2000, Financial Analysts Journal, V56, P16, DOI DOI 10.2469/FAJ.V56.N2.2340

← 1 2 →