Analysing stock market data—Market sentiment approach and its measures

Figures & data

Figure 1. Weekly returns and volatility returns from January 1999 to December 2013.

Table 1. Summary statistics

Statistics	DCI return indices
Mean	0.00027
Maximum	0.16010
Minimum	−0.16250
Std. Dev	0.00122
Skewness	0.90772
Kurtosis	7.80332
Jarque–Bera (JB)	2095.3
Probability J.B	0.0000
ADF-test statistics	−7.1115
Probability	0.01
No. of observations	774

Table 2. Weekly absolute market sentiments

States(weekly counts)
Year	1	2	3	4	5	6	7
1999	19	8	7	2	1	2	11
2000	18	3	1	7	3	3	17
2001	17	6	3	10	0	1	16
2002	13	0	3	13	5	1	18
2003	16	1	2	7	4	5	18
2004	11	6	11	9	1	5	10
2005	16	6	6	9	1	0	14
2006	14	7	7	9	3	0	12
2007	20	3	2	7	2	4	15
2008	17	2	1	8	3	4	18
2009	20	1	3	1	6	0	22
2010	13	2	2	12	2	3	19
2011	18	1	7	8	2	0	16
2012	18	6	2	3	3	3	18
2013	17	6	3	8	3	3	13

Table 3. Measures of market sentiments

Year	Different market sentiment measures
	χ^2 (f)	λ (f)	δ (f)	D (tw)	εk (θ)	Ik (f)	dϕ (f)
1999	10.23	0.00	−10.2	6.36	0.70	0.39	0.10
2000	1.03	0.53	0.97	6.60	0.69	0.23	0.12
2001	6.6	–	−6.6	6.19	0.66	–	0.11
2002	2.31	–	2.31	5.49	0.66	–	0.11
2003	3.46	0.16	3.46	6.33	0.70	0.33	0.03
2004	8.67	0.01	−8.47	4.62	0.79	0.13	0.03
2005	9.70	–	−9.7	5.79	0.70	–	0.14
2006	8.75	–	−8.75	5.23	0.73	–	0.06
2007	0.85	0.66	−0.57	6.55	0.70	0.35	0.11
2008	1.7	0.42	1.7	6.47	0.69	0.38	0.11
2009	2.09	–	0.10	7.38	0.56	–	0.19
2010	1.33	0.51	1.33	5.89	0.70	0.36	0.11
2011	3.90	–	−3.9	6.13	0.65	–	0.12
2012	1.20	0.54	−0.8	6.89	0.70	0.36	0.11
2013	1.53	0.46	−1.53	5.89	0.73	0.20	0.07