Investor Sentiment and Stock Market Return in China

摘要：

This paper makes an empirical analysis between investor sentiment and stock market return in China regarding the Bull/Bear Index in Stock Market Trend Analysis Weekly as investor sentiment index, and Granger causality is applied to this study for testing. The result shows that the medium term Bull/Bear index levels has significant unidirectional cause stock market return, whereas stock market return has notable unidirectional effect on short term Bull/Bear index levels. The changes of Bull/Bear index (medium term and short term) and stock market return affect each other mutually, which proves that investor sentiment has the ability of forecasting stock market return, investors have psychology of simple outward Derivative Anticipation, the information delivered by changes in stock market return influences investor sentiment remarkably, and it is appropriate to choose one month or one quarter as the proper time span of investor sentiment index.

关键词： investor sentiment stock market return Granger causality

作者: WANG Zhaohui

作者单位: Faculty of Business,Ningbo University,Ningbo 315211,P.R.China;School of Management and Engineering.Nanjing University,Nanjing 210093,P.R.China

会议类型: 国际会议

会议名称: The 5th International Annual Conference on WTO and Financial Engineering(第五届WTO与金融工程国际会议)

会议地点: 杭州

会议语种:英文

页码: 576-582

在线出版日期: 2008-05-18（万方平台首次上网日期，不代表论文的发表时间）