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DOES INVESTOR SENTIMENT PREDICT STOCK RETURNS? THE EVIDENCE FROM CHINESE STOCK MARKET

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Bu Hui   Pi Li  
文摘 This paper examines the proxy variables of investor sentiment in Chinese stock market carefully, and tries to construct an investor sentiment index indirectly. We use cross correlation analysis to examine lead-lag relationship between the proxy variables and HS300 index. The results show that net added accounts (NAA), SSE share turnover (TURN), and closed-end fund discount (CEFD) are leading variables to stock market. The average first day return of IPOs (RIPO) and relative degree of active trading in equity market (RDAT) are contemporary variables, while number of IPOs (NIPO) is a lagging variable of stock market. Using the sentiment proxy variables with most possible leading order, and forward selection stepwise regression method, the empirical results on monthly stock returns reveal that three leading proxy variables can be used to form a sentiment index. And the out of sample tests prove that this sentiment index has good predictive power of Chinese stock market, and it is robust.
来源 Journal of Systems Science and Complexity ,2014,27(1):130-143 【核心库】
DOI 10.1007/s11424-013-3291-y
关键词 Chinese stock market ; investor sentiment ; return predictability
地址

School of Economics and Management, Beihang University, Beijing, 100191

语种 英文
文献类型 研究性论文
ISSN 1009-6124
学科 数学
基金 国家自然科学基金
文献收藏号 CSCD:5112261

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