Research on Investor Sentiment Effect on A-Share Market in China Based on Analysis of A-Share Materials

被引：0
|
作者：
Ren, Deping [1 ,2 ]
Chao, Youcong [2 ]
Liu, Saiping [2 ]
Wen, Fenghua [2 ]
机构：
[1] Hunan Univ, Sch Business Management, Changsha 410082, Hunan, Peoples R China
[2] Changsha Univ Sci Technol, Schl Econom Management, Changsha 410004, Hunan, Peoples R China
来源：
ADVANCES IN COMPUTER SCIENCE, INTELLIGENT SYSTEM AND ENVIRONMENT, VOL 2 | 2011年 / 105卷
关键词：
Investor sentiment; Stock returns; VAR (Vector Auto-Regression);
D O I：
暂无
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
According to daily and weekly data of account open rate as well as stock market returns, we set a vector auto-regression model to make a study on the effect of investor sentiment change on Shanghai and Shenzhen stock markets. The result shows: investor sentiment has greater effect on Shenzhen stock market than on that of Shanghai, and its effect on stock market is greater in the long run than in short term. Besides, volatility of account open rate is the Granger reason of the yield volatility of Shanghai and Shenzhen 300 index, Shanghai A-share index, and Shenzhen A-share index; while vice versa, that depends on different time limits.
引用
收藏
页码：385 / +
页数：2
相关论文
共 50 条
  • [31] The ESG premium in China's a-share market: a time horizon perspective
    Cui, Mengqi
    Li, Daye
    [J]. APPLIED ECONOMICS, 2023,
  • [32] Characteristics and mechanisms of the US stock market spillover effects on the Chinese A-share market: Evidence from 6 A-share broad-based and 31 sector indices
    Huang, Junbo
    Tian, Huiting
    Shen, Weibing
    [J]. INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2023, 87
  • [33] Investor perceptions of the benefits of political connections Evidence from China's A-share premiums
    Yang, Fan
    Wilson, Craig
    Wu, Zhenyu
    [J]. INTERNATIONAL JOURNAL OF MANAGERIAL FINANCE, 2014, 10 (03) : 312 - +
  • [34] The survey and criterion of the compass rose in Chinese A-share market
    Tian, Wenzhao
    Wang, Yanxiang
    Huo, Zhao
    Li, Yilin
    [J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2018, 492 : 272 - 284
  • [35] A comprehensive study on smart beta strategies in the A-share market
    Cai, Lixin
    Jin, Yong
    Qi, Qiulin
    Xu, Xin
    [J]. APPLIED ECONOMICS, 2018, 50 (55) : 6024 - 6033
  • [36] An empirical examination of IPO underpricing in the Chinese A-share market
    Yu, Ting
    Tse, Y. K.
    [J]. CHINA ECONOMIC REVIEW, 2006, 17 (04) : 363 - 382
  • [37] IPO Timing Research Based on Quality of Firms: Evidence from Chinese A-Share Market
    Hu, Zhiqiang
    Wan, Zhaohui
    Wang, Pei
    [J]. 2014 INTERNATIONAL CONFERENCE ON ADVANCED EDUCATION AND MANAGEMENT (ICAEM), 2014, : 412 - 418
  • [38] Mood seasonality: Evidence from the Chinese A-share market
    Wen, Fenghua
    Liu, Zhen
    Cao, Jiahui
    Zhang, Yun
    Yin, Zhujia
    [J]. FINANCE RESEARCH LETTERS, 2022, 46
  • [39] Pattern Recognition Based on the Nonparametric Kernel Regression Method in A-share Market
    Sun, Huaiyu
    Zhu, Mi
    He, Feng
    [J]. PROCEEDINGS OF INTERNATIONAL CONFERENCE ON SOFT COMPUTING TECHNIQUES AND ENGINEERING APPLICATION, ICSCTEA 2013, 2014, 250 : 309 - 314
  • [40] Insider trading under trading ban regulation in China's A-share market
    Zhu, Chafen
    Wang, Li
    [J]. CHINA JOURNAL OF ACCOUNTING RESEARCH, 2015, 8 (03) : 169 - 191
12345