An Empirical Study on Investors Sentiment Indez and China’s Stock Market Return
This paper analysises the impact mechanism between investors sentiment and stock market return. With the proxiy available, a principal component analysis was used to establish an investor sentiment index, and GARCH-M models were used to evaluate how affects on stock returns from the movement of sentiment and how affects on different portfolio. Results show that investor sentiment was the systemic factor which affected stock return, and the effects to different portfolio was asymmetric. In addition, the synthesis investor sentiment index could truely reflect the investor sentiment volatility.
investor sentiment stock market return sentiment indez GARCH-M model
Yan Xue Na Hu
School of Management, China University of Mining and Technology 221004 Jangsu China Xuzhou Higher Vocational School of Economic and Trading 221004 Jangsu China
国际会议
2009 International Institute of Applied Statistics Studies(2009 国际应用统计学术研讨会)
青岛
英文
1-8
2009-07-25（万方平台首次上网日期，不代表论文的发表时间）