On the construction of Chinese stock market investor sentiment index

被引：11
|
作者：
He, Gang [1 ,2 ]
Zhu, Shuzhen [2 ]
Gu, Haifeng [2 ]
机构：
[1] Shanghai Ocean Univ, Shanghai 201306, Peoples R China
[2] Donghua Univ, Glorious Sun Sch Business & Management, Shanghai 20051, Peoples R China
来源：
COGENT ECONOMICS & FINANCE | 2018年 / 5卷 / 01期
关键词：
investor sentiment; monitoring system; composite index;
D O I：
10.1080/23322039.2017.1412230
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Measuring investor sentiment has become one of the most widely examined areas in behavioral finance. For the purpose of measuring investor sentiment more accurately, we classify the investor sentiment proxy into six market dimensions for the first time, and construct the investor sentiment monitoring index system. By using PCA method and excluding macroeconomic factors, we construct comprehensive investor sentiment index in Chinese stock market. Our results show this index as a good prediction ability to stock market.
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页数：10
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