Investor Sentiment Measurement and Time Series Analysis
Investor sentiment is one of the destabilizing factors in the stock market. In the past, some scholars have proposed models for the measurement of emotions. On this basis, this paper selects 9 factors (closed-end fund discount rate, trading volume of the previous month, market turnover rate of the p...
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| Format: | Article |
| Language: | English |
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EDP Sciences
2023-01-01
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| Series: | SHS Web of Conferences |
| Online Access: | https://www.shs-conferences.org/articles/shsconf/pdf/2023/12/shsconf_icssed2023_01002.pdf |
| _version_ | 1827955602193645568 |
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| author | Bai Yuchen |
| author_facet | Bai Yuchen |
| author_sort | Bai Yuchen |
| collection | DOAJ |
| description | Investor sentiment is one of the destabilizing factors in the stock market. In the past, some scholars have proposed models for the measurement of emotions. On this basis, this paper selects 9 factors (closed-end fund discount rate, trading volume of the previous month, market turnover rate of the previous month, number of IPOs, first-day yield of IPOs, number of new investors opened accounts in the last month, Consumers Confidence index, Advance/Decline Line, Business Index of Macro-economic), and constructs the investor sentiment index through principal component analysis. Through statistical analysis of the index, it is found that it satisfies the conditions of a stationary time series, and a related formula is put forward. At the same time, the relationship between index and stock market is discussed. |
| first_indexed | 2024-04-09T14:49:59Z |
| format | Article |
| id | doaj.art-75860c5d8faa4d0f99a1571e06741181 |
| institution | Directory Open Access Journal |
| issn | 2261-2424 |
| language | English |
| last_indexed | 2024-04-09T14:49:59Z |
| publishDate | 2023-01-01 |
| publisher | EDP Sciences |
| record_format | Article |
| series | SHS Web of Conferences |
| spelling | doaj.art-75860c5d8faa4d0f99a1571e067411812023-05-02T09:41:55ZengEDP SciencesSHS Web of Conferences2261-24242023-01-011630100210.1051/shsconf/202316301002shsconf_icssed2023_01002Investor Sentiment Measurement and Time Series AnalysisBai Yuchen0School of Finance, Shanghai University of International Business and EconomicsInvestor sentiment is one of the destabilizing factors in the stock market. In the past, some scholars have proposed models for the measurement of emotions. On this basis, this paper selects 9 factors (closed-end fund discount rate, trading volume of the previous month, market turnover rate of the previous month, number of IPOs, first-day yield of IPOs, number of new investors opened accounts in the last month, Consumers Confidence index, Advance/Decline Line, Business Index of Macro-economic), and constructs the investor sentiment index through principal component analysis. Through statistical analysis of the index, it is found that it satisfies the conditions of a stationary time series, and a related formula is put forward. At the same time, the relationship between index and stock market is discussed.https://www.shs-conferences.org/articles/shsconf/pdf/2023/12/shsconf_icssed2023_01002.pdf |
| spellingShingle | Bai Yuchen Investor Sentiment Measurement and Time Series Analysis SHS Web of Conferences |
| title | Investor Sentiment Measurement and Time Series Analysis |
| title_full | Investor Sentiment Measurement and Time Series Analysis |
| title_fullStr | Investor Sentiment Measurement and Time Series Analysis |
| title_full_unstemmed | Investor Sentiment Measurement and Time Series Analysis |
| title_short | Investor Sentiment Measurement and Time Series Analysis |
| title_sort | investor sentiment measurement and time series analysis |
| url | https://www.shs-conferences.org/articles/shsconf/pdf/2023/12/shsconf_icssed2023_01002.pdf |
| work_keys_str_mv | AT baiyuchen investorsentimentmeasurementandtimeseriesanalysis |