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A Study of Chinese Investor Sentiment and Stock Return

Author: GaoZhenHua
Tutor: ZhengXiangQing
School: Nanchang University
Course: Political Economics
Keywords: Investor sentiment Stock returns Stock portfolio
CLC: F224
Type: Master's thesis
Year: 2011
Downloads: 118
Quote: 0
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Abstract


Effect of investor sentiment and market returns on the stock price has become an important topic of behavioral finance theoretical research, it’s purpose is to through the intuitive research or empirical study found that investors mood in effect when the asset pricing functions. This article in the theory framework, is to study Chinese stock market investor sentiment and the stock market gains and different types of stock portfolio the link between the earnings.This paper, by using some index constructs a variable can be used to said China stock market investors emotional mood index. Then by using the mood index and the stock market gains, stock portfolio earnings and data from different perspective of investor’s emotion the influence of stock returns. Through an empirical research,we get a few conclusions:1. By the principal component analysis, the rate of changing hands, volume, equity ratio, closed-end fund discount rate, accounts five indexs build growth mood index and improve the ability of investor’s emotion quantitative.2 Whether A share market or AB stocks with A comprehensive market, emotional index can significantly affect the market gains, mood index and market returns index are positive correlated with relations, namely investors optimistic mood, the revenue increase; Investors pessimistic mood, the reducing revenue.3 that emotion on stock portfolio investors all have the ability to explain earnings, specific for investors to stock portfolio mood returns, positive effect relationship, and investors mood is in addition to the stock market risk of significant independent function combination earnings of factor, and the influence of SMB,HML faint.

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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