On the construction of Chinese stock market investor sentiment index

Figures & data

Table 1. Investor sentiment monitor control indicator system

Indictor type	Indictor description	Indictor variable	Data frequency	Sample interval
Market dealing behavior index	Volume/value	TURNVOL	Month	January 2006−2014
	Market capitalization weighted exchange rate	TURNOVER	Month	January 2006−2014
	Newly increased investors’ stock account	NAA	Month	January 2006−2014
Market structure index	The ratio from rise to decline	UDR	Month	January 2006−2014
	Loss index	LSI	Month	January 2006−2014
Market valuation index	Pe (price-earning) ratio	PE	Month	January 2006−2014
Institutional investor behavior index	Bulk transaction premium turnover ratio	LTPTR	Month	January 2006−2014
New share index	New share circulation	NIPO	Month	January 2006−2014
Subjective emotion index	Consumer confidence index	CII	Month	January 2006−2014

Table 2. The test of table 2KMO and Bartlett

Kaiser-Meyer-Olkin metrics for sampling sufficiency		0.686
Sphericity test of Bartlett	Approximate chi-square	260.742
	df	36
	Sig.	0.000

Table 3. The correlation between SMT and 18 variables

SMT		TURNOVER	UDR	NAA	LTPTR	PE	LSI	TURNVOL	NIPO	CCI
	The correlation coefficient	0.732	0.369	0.781	0.102	0.851	0.400	0.733	0.037	0.370
	The sample size	89	89	89	89	89	89	89	89	89
		TURNOVERt−1	UDRt−1	NAAt−1	PEt−1	LSIt−1	LTPTRt−1	TURNVOLt−1	NIPOt−1	CCIt−1
	The correlation coefficient	0.729	0.234	0.833	0.878	0.451	0.400	0.729	0.124	0.404
	The sample size	89	89	89	89	89	89	89	89	89

Note: When the confidence level (double test) is 0.05, the correlation is significant.

Table 4. SMT empirical results

	Factor loading	SMT	LSIt − 1	TURNVOL	NIPOt − 1	CCIt − 1	UDR	TURNOVER	NAAt − 1	PEt − 1	LTPTRt − 1
LSIt − 1	0.204	0.428	1
TURNVOL	0.324	0.610	−0.098	1
NIPOt − 1	0.243	0.132	0.470	−0.087	1
CCIt − 1	0.308	0.413	−0.175	0.486	0.018	1
UDR	0.126	0.249	0.005	0.259	0.030	−0.151	1
TURNOVER	0.323	0.612	−0.148	0.988	−0.111	0.428	0.300	1
NAAt − 1	0.410	1.000	0.427	0.610	0.129	0.226	0.250	0.612	1
PEt − 1	0.412	0.783	0.182	0.759	0.029	0.463	0.188	0.769	0.783	1
LTPTRt − 1	0.014	0.021	−0.317	0.05	−0.174	0.377	−0.086	0.022	0.018	0.039	1

Table 5. Correlation analysis

	Factor loading	SMTrt	TURNOVER	UDR	TURNVOL	NAAt − 1	PEt − 1	LSIt − 1	LTPTRt − 1	NIPOt − 1	CCIt − 1
TURNOVER	0.319	0.806	1
UDR	0.240	0.442	0.245	1
TURNVOL	0.323	0.802	0.982	0.195	1
NAAt − 1	0.442	0.922	0.661	0.324	0.654	1
PEt − 1	0.376	0.855	0.683	0.221	0.657	0.798	1
LSIt − 1	0.327	0.526	0.039	0.205	0.076	0.519	0.322	1
LTPTRt − 1	0.026	−0.043	0.006	−0.124	0.005	0.009	0.071	−0.260	1
NIPOt − 1	0.132	0.086	−0.234	0.148	−0.169	0.016	−0.175	0.557	−0.273	1
CCIt − 1	0.064	0.312	0.393	−0.060	0.351	0.278	0.473	−0.187	0.245	−0.377	1

Notes: First to fifth of the cumulative variance of the main components was explained by a factor of 90.562%.

Table 6. Pearson correlation

		SMT	Shanghai Composite Index
SMT	Pearson correlation	1	0.606**
Shanghai composite index	Pearson correlation	0.606**	1

** Significant correlation at 0.01 level (bilateral).

Figure 1. The monthly yield change trend of SMT and Shanghai composite index.