Dissertation > Excellent graduate degree dissertation topics show

Investor Sentiment and Cross Sectional Stock Returns: Empirical from Chinese A Share Market

Author: XuShu
Tutor: YuanYu
School: Shanghai Jiaotong University
Course: Financial
Keywords: investor sentiment cross-sectional return stock market
CLC:
Type: Master's thesis
Year: 2013
Downloads: 59
Quote: 0
Read: Download Dissertation

Abstract


This paper aims to examine the investor sentiment effect on Chinese A sharemarket from both market-level and cross-sectional level, contributing to providingmore insights on Chinese market, where only a few empirical work has been doneon this field.Firstly, the paper constructs a market-level sentiment index from1998.08to2012.11, using Principal Component Method. Then I construct stock portfolios onthe basis of firm characteristics including size, age, past volatility, book-to-marketratio, institutional ownership and tradable A shares. Based on the sentiment index,this paper tests the predictability of sentiment on market-level return, and thefurthermore cross-sectional stock returns.Results show that investor sentiment has contrarian predictability inmarket-level return when lagged period equal to5months. Further, more influenceis found to be exerted on the market return by investor sentiment in high sentimentperiods than in low sentiment periods As for cross-sectional returns, non-parametricanalysis shows that young, high volatile and growth stocks are more easily affectedby sentiment; big firms and small firms react more to sentiment than middle-sizefirms. Regression analysis supports that highly volatile stocks, growth stocks andstocks with less institutional investors are more easily affected by sentiment for thefull sample period. When dividing the sample period into before and after June2005,it is shown that in period after June2005, the predictability power of sentiment isstronger than before June2005for most of the firm characteristics.

Related Dissertations

  1. Study on the Relativity between the Fluctuation of International Oil Price and Chinese Stock Market,F832.51;F224
  2. Theoretical and Empirical Analysis of Chinese Stock Market Affecting Monetary Policy Transmission Mechanism,F822.0;F224
  3. Effect of Non-tradable Share Reform on Chinese Stock Market,F832.51
  4. The Research of Sector Rotation of Stock Market,F832.51
  5. The Empirical Research of the Relationship of China’s Stock Market and Real Estate Markets,F293.3;F224
  6. To Promote the Healthy Development of the Stock Market Stability Tax System Conception,F812.42
  7. Research on the Effect of Chinese Interest Rate Adjustment to the Stock Price,F224
  8. An Empirical Research on the Relationship between the Development of China’s Stock Market and Money Demand,F832.51;F822
  9. Research on the Correlation between Chinese Stock Market and Monetary Policy,F832.51;F822.0
  10. The Early Warning Study of Our Country’s Stock Market Bubble,F832.51
  11. The Applied Research of GARCH Family Model Based on the VaR Method in China’s Stock Market Risk Measure,F224
  12. Empirical Research on Interest Rate to Stock Market under Perspective of Economic Cycle,F832.51;F224
  13. A study of investor sentiment index to predict the stock opened at,F224
  14. Impact of deposit reserve rate adjustment on the stock market Chinese,F822.0
  15. Chinese institutional investor sentiment and market returns Empirical Study of the Relationship,F224
  16. Proved Validity of Exponential Smoothing Moving Average (EXPMA) in China Stock Market,F832.51
  17. The Impact of Macro-liquidity on Equity Price in Secondary Market: An Empirical Research Based on Chinese Securities Market,F832.51;F224
  18. The Transmission Mechanism of China Deposit Reserve Ratio Adjustment Impact on Stock Market,F832.51;F224
  19. The Empirical Analysis on the Influence of Short-term International Capital Flows on the Volatility of Stock Market in China,F832.51
  20. The Empirical Analysis of the Shanghai Composite Index’s Reaction to Our Country’s Monetary Policy,F822.0;F832.51
  21. Our Institutional Investors Activism Legal Thinking,D922.28

CLC: >
© 2012 www.DissertationTopic.Net  Mobile