On the construction of Chinese stock market investor sentiment index
Measuring investor sentiment has become one of the most widely examined areas in behavioral finance. For the purpose of measuring investor sentiment more accurately, we classify the investor sentiment proxy into six market dimensions for the first time, and construct the investor sentiment monitorin...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Taylor & Francis Group
2017-01-01
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| Series: | Cogent Economics & Finance |
| Subjects: | |
| Online Access: | http://dx.doi.org/10.1080/23322039.2017.1412230 |
| _version_ | 1818947005492232192 |
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| author | Gang He Shuzhen Zhu Haifeng Gu |
| author_facet | Gang He Shuzhen Zhu Haifeng Gu |
| author_sort | Gang He |
| collection | DOAJ |
| description | Measuring investor sentiment has become one of the most widely examined areas in behavioral finance. For the purpose of measuring investor sentiment more accurately, we classify the investor sentiment proxy into six market dimensions for the first time, and construct the investor sentiment monitoring index system. By using PCA method and excluding macroeconomic factors, we construct comprehensive investor sentiment index in Chinese stock market. Our results show this index as a good prediction ability to stock market. |
| first_indexed | 2024-12-20T08:24:02Z |
| format | Article |
| id | doaj.art-5bbcb571bfe4496c9485340e30dfab5f |
| institution | Directory Open Access Journal |
| issn | 2332-2039 |
| language | English |
| last_indexed | 2024-12-20T08:24:02Z |
| publishDate | 2017-01-01 |
| publisher | Taylor & Francis Group |
| record_format | Article |
| series | Cogent Economics & Finance |
| spelling | doaj.art-5bbcb571bfe4496c9485340e30dfab5f2022-12-21T19:46:53ZengTaylor & Francis GroupCogent Economics & Finance2332-20392017-01-015110.1080/23322039.2017.14122301412230On the construction of Chinese stock market investor sentiment indexGang He0Shuzhen Zhu1Haifeng Gu2Donghua UniversityDonghua UniversityDonghua UniversityMeasuring investor sentiment has become one of the most widely examined areas in behavioral finance. For the purpose of measuring investor sentiment more accurately, we classify the investor sentiment proxy into six market dimensions for the first time, and construct the investor sentiment monitoring index system. By using PCA method and excluding macroeconomic factors, we construct comprehensive investor sentiment index in Chinese stock market. Our results show this index as a good prediction ability to stock market.http://dx.doi.org/10.1080/23322039.2017.1412230investor sentimentmonitoring systemcomposite index |
| spellingShingle | Gang He Shuzhen Zhu Haifeng Gu On the construction of Chinese stock market investor sentiment index Cogent Economics & Finance investor sentiment monitoring system composite index |
| title | On the construction of Chinese stock market investor sentiment index |
| title_full | On the construction of Chinese stock market investor sentiment index |
| title_fullStr | On the construction of Chinese stock market investor sentiment index |
| title_full_unstemmed | On the construction of Chinese stock market investor sentiment index |
| title_short | On the construction of Chinese stock market investor sentiment index |
| title_sort | on the construction of chinese stock market investor sentiment index |
| topic | investor sentiment monitoring system composite index |
| url | http://dx.doi.org/10.1080/23322039.2017.1412230 |
| work_keys_str_mv | AT ganghe ontheconstructionofchinesestockmarketinvestorsentimentindex AT shuzhenzhu ontheconstructionofchinesestockmarketinvestorsentimentindex AT haifenggu ontheconstructionofchinesestockmarketinvestorsentimentindex |