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Chinese institutional investor sentiment and market returns Empirical Study of the Relationship

Author: LiuJing
Tutor: YangChunPeng
School: Qingdao University
Course: Finance
Keywords: institutional investors sentiment stock market returns excess returns volatility
CLC: F224
Type: Master's thesis
Year: 2011
Downloads: 63
Quote: 0
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Abstract


China’s securities market is a newly developed capital market; China’s institutional investors are just a few years developed to improve the structure of Chinese investors, to promote sustainable, stable and healthy development of the stock market. But some cases show that the behavioral characteristics of China’s institutional investors are frequently distorted, not only do not play a important role in stabilizing the stock market, but increase the volatility of the market. It fuels speculation in the stock market. China’s institutional investors in the investment activities display some irrational characteristics, investor sentiment is expected to reflect institutional investors’psychological factor. So currently, the research about the relationship between sentiment of institutional investors and stock market returns is necessary.This article first reviews the domestic and foreign papers about investor’s sentiment, and overview behavioral finance theories on investor sentiment, and summarizes investor sentiment at home and abroad. This article second describes the theory of institutional investors and their behavior characteristics, and classifies institutional investor sentiment indexes. Then, this article chooses some indexes that represent situational investor sentiment and uses the indexes to construct a comprehensive institutional investor sentiment index through SPSS Software. Finally, this article examines the relationship between the sentiment of institutional investors and stock market returns through comprehensive series of empirical studies. The function of investor sentiment education should be valued by regulators, they must guide the market to be rational, and they should also improve various rules and regulations to promote the development of stock market, then our stock market can be well developed.

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