A nonlinear Granger causality test between stock returns and investor sentiment for Chinese stock market: a wavelet-based approach

被引:36
|
作者
Chu, Xiaojun [1 ,2 ]
Wu, Chongfeng [2 ]
Qiu, Jianying [1 ,3 ]
机构
[1] Nanjing Univ Informat Sci & Technol, Sch Econ & Management, Nanjing, Jiangsu 210044, Peoples R China
[2] Shanghai Jiao Tong Univ, Antai Coll Econ & Management, Shanghai 200052, Peoples R China
[3] Radboud Univ Nijmegen, Inst Management Res, Dept Econ, NL-6525 ED Nijmegen, Netherlands
基金
中国博士后科学基金;
关键词
Returns; investor sentiment; wavelet method; nonlinear Granger causality; MOVEMENTS; PRICES; FIRMS;
D O I
10.1080/00036846.2015.1109048
中图分类号
F [经济];
学科分类号
02 ;
摘要
In this article, we re-examine the causality between the stock returns and investor sentiment in China. The number of net added accounts is used as a proxy for investor sentiment. To mimic the different investment horizons of market participants, we use the wavelet method to decompose stock returns and investor sentiment into time series with different frequencies. Additionally, we test for nonlinear causal relationships based on Taylor series approximation. Our results indicate that there is a one-directional linear causality from stock returns to investor sentiment on the original series, while there is a strong bi-directional nonlinear causality between stock returns and investor sentiment at different timescales.
引用
收藏
页码:1915 / 1924
页数:10
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