International investor sentiment and stock returns: Evidence from China

References

• Ahn, H. J., Kang, J., & Ryu, D. (2008). Informed trading in the index option market: The case of KOSPI 200 options. Journal of Futures Markets: Futures, Options, and Other Derivative Products, 28(12), 1118–1146. https://doi.org/10.1002/fut.20369
   Web of Science ®Google Scholar
• Ahn, H., Kang, J., & Ryu, D. (2010). Information effects of trade size and trade direction: Evidence from the KOSPI200 index options market. Asia-Pacific Journal of Financial Studies, 39(3), 301–339. https://doi.org/10.1111/j.2041-6156.2010.01016.x
   Web of Science ®Google Scholar
• Aissia, D. B. (2016). Home and foreign investor sentiment and the stock returns. The Quarterly Review of Economics and Finance, 59, 71–77. https://doi.org/10.1016/j.qref.2015.06.009
   Web of Science ®Google Scholar
• Antoniou, C., Doukas, J. A., & Subrahmanyam, A. (2016). Investor sentiment, beta, and the cost of equity capital. Management Science, 62(2), 347–367. https://doi.org/10.1287/mnsc.2014.2101
   Web of Science ®Google Scholar
• Asif Khan, M., Ahmad, R., Azmi, A., & Akbar, M. (2019). A new sentiment index for the Islamic stock market. Investment Analysts Journal, 48(2), 146–172. https://doi.org/10.1080/10293523.2019.1643968
   Web of Science ®Google Scholar
• Baek, C. (2016). Stock prices, dividends, earnings, and investor sentiment. Review of Quantitative Finance and Accounting, 47(4), 1043–1061. https://doi.org/10.1007/s11156-015-0530-4
   Web of Science ®Google Scholar
• Baker, M., & Wurgler, J. (2006). Investor sentiment and the cross-section of stock returns. The Journal of Finance, 61(4), 1645–1680. https://doi.org/10.1111/j.1540-6261.2006.00885.x
   Web of Science ®Google Scholar
• Baker, M., Wurgler, J., & Yuan, Y. (2012). Global, local and contagious investor sentiment. Journal of Financial Economics, 104(2), 272–287. https://doi.org/10.1016/j.jfineco.2011.11.002
   Web of Science ®Google Scholar
• Ben-Rephael, A., Kandel, S., & Wohl, A. (2012). Measuring investor sentiment with mutual fund flows. Journal of Financial Economics, 104(2), 363–382. https://doi.org/10.1016/j.jfineco.2010.08.018
   Web of Science ®Google Scholar
• Chen, H., Chong, T. T. L., & She, Y. (2014). A principal component approach to measuring investor sentiment in China. Quantitative Finance, 14(4), 573–579. https://doi.org/10.1080/14697688.2013.869698
   Web of Science ®Google Scholar
• Chen, N. F., Kan, R., & Miller, M. H. (1993). Are the discounts on closed-end funds a sentiment index? The Journal of Finance, 48(2), 795–800. https://doi.org/10.1111/j.1540-6261.1993.tb04741.x
   Web of Science ®Google Scholar
• Cheng, A. W. W., Chow, N. S. C., Chui, D. K. H., & Wong, W. K. (2019). The Three Musketeers Relationships between Hong Kong, Shanghai and Shenzhen Before and After Shanghai–Hong Kong Stock Connect. Sustainability, 11(14), 3845. https://doi.org/10.3390/su11143845
   Web of Science ®Google Scholar
• Chi, L., Zhuang, X., & Song, D. (2012). Investor sentiment in the Chinese stock market: An empirical analysis. Applied Economics Letters, 19(4), 345–348. https://doi.org/10.1080/13504851.2011.577003
   Web of Science ®Google Scholar
• Chu, X., Wu, C., & Qiu, J. (2016). A nonlinear Granger causality test between stock returns and investor sentiment for Chinese stock market: A wavelet-based approach. Applied Economics, 48(21), 1915–1924. https://doi.org/10.1080/00036846.2015.1109048
   Web of Science ®Google Scholar
• Chung, S. L., Hung, C. H., & Yeh, C. Y. (2012). When does investor sentiment predict stock returns? Journal of Empirical Finance, 19(2), 217–240. https://doi.org/10.1016/j.jempfin.2012.01.002
   Web of Science ®Google Scholar
• Cui, H., & Zhang, Y. (2020). Does investor sentiment affect stock price crash risk? Applied Economics Letters, 27(7), 564–568. https://doi.org/10.1080/13504851.2019.1643448
   Web of Science ®Google Scholar
• Da, Z., Engelberg, J., & Gao, P. (2015). The sum of all FEARS investor sentiment and asset prices. Review of Financial Studies, 28(1), 1–32. https://doi.org/10.1093/rfs/hhu072
   Web of Science ®Google Scholar
• Daniel, K., Hirshleifer, D., & Subrahmanyam, A. (1998). Investor psychology and security market under-and overreactions. the Journal of Finance, 53(6), 1839-1885. https://doi.org/10.1111/0022-1082.00077
   Web of Science ®Google Scholar
• De Long, J. B., Shleifer, A., Summers, L. H., & Waldmann, R. J. (1990). Noise trader risk in financial markets. Journal of Political Economy, 98(4), 703–738. https://doi.org/10.1086/261703
   Web of Science ®Google Scholar
• Delcoure, N., & Zhong, M. (2007). On the premiums of iShares. Journal of Empirical Finance, 14(2), 168–195. https://doi.org/10.1016/j.jempfin.2005.12.004
   Google Scholar
• Ding, Y. J., & Feng, Y. (2019). The impact of market trading mechanism on AH share price premium. Applied Economics Letters, 26(7), 594–600. https://doi.org/10.1080/13504851.2018.1488045
   Web of Science ®Google Scholar
• Dvořák, T. (2005). Do domestic investors have an information advantage? Evidence from Indonesia. The Journal of Finance, 60(2), 817–839. https://doi.org/10.1111/j.1540-6261.2005.00747.x
   Web of Science ®Google Scholar
• Fengyu, L. (2014). Can investor sentiment explain discount/premium of EFTs: Evidence from A-share stock market. Journal of Financial Research, 6(2), http://en.cnki.com.cn/Article_en/CJFDTOTAL-JRYJ201402014.htm
   Google Scholar
• Fisher, K. L., & Statman, M. (2000). Investor sentiment and stock returns. Financial Analysts Journal, 56(2), 16–23. https://doi.org/10.2469/faj.v56.n2.2340
   Google Scholar
• Frazzini, A., & Lamont, O. A. (2008). Dumb money: Mutual fund flows and the cross-section of stock returns. Journal of Financial Economics, 88(2), 299–322. https://doi.org/10.1016/j.jfineco.2007.07.001
   Web of Science ®Google Scholar
• Freeman, N. J. (2001). Understanding the decline in foreign investor sentiment towards Vietnam during the 1990s. Asia Pacific Business Review, 8(1), 1–18. https://doi.org/10.1080/713999125
   Google Scholar
• Froot, K. A., & Ramadorai, T. (2008). Institutional portfolio flows and international investments. Review of Financial Studies, 21(2), 937–971. https://doi.org/10.1093/rfs/hhm091
   Web of Science ®Google Scholar
• Giot, P. (2005). Implied volatility indexes and daily value at risk models. Journal of Derivatives, 12(4), 54–64. https://doi.org/10.3905/jod.2005.517186
   Google Scholar
• Grinblatt, M., & Keloharju, M. (2000). The investment behavior and performance of various investor types: A study of Finland’s unique data set. Journal of Financial Economics, 55(1), 43–67. https://doi.org/10.1016/S0304-405X(99)00044-6
   Web of Science ®Google Scholar
• Han, B., & Kumar, A. (2013). Speculative retail trading and asset prices. Journal of Financial and Quantitative Analysis, 48(2), 377–404. https://doi.org/10.1017/S0022109013000100
   Web of Science ®Google Scholar
• Ho, C., & Hung, C. H. (2009). Investor sentiment as conditioning information in asset pricing. Journal of Banking & Finance, 33(5), 892–903. https://doi.org/10.1016/j.jbankfin.2008.10.004
   Web of Science ®Google Scholar
• Horta, P., & Lobao, J. (2018). Global and extreme dependence between investor sentiment and stock returns in European markets. Journal of Behavioral Finance, 19(2), 141–158. https://doi.org/10.1080/15427560.2017.1373647
   Web of Science ®Google Scholar
• Hudson, Y., & Green, C. J. (2015). Is investor sentiment contagious? international sentiment and uk equity returns. Journal of Behavioral and Experimental Finance, 5, 46–59. https://doi.org/10.1016/j.jbef.2015.02.004
   Web of Science ®Google Scholar
• Hvidkjaer, S. (2006). A trade-based analysis of momentum. Review of Financial Studies, 19(2), 457–491. https://doi.org/10.1093/rfs/hhj016
   Web of Science ®Google Scholar
• Hwang, B. H. (2011). Country-specific sentiment and security prices. Journal of Financial Economics, 99(2), 382–401. https://doi.org/10.1016/j.jfineco.2010.10.020
   Google Scholar
• Kaniel, R., Saar, G., & Titman, S. (2008). Individual investor trading and stock returns. The Journal of Finance, 63(1), 273–310. https://doi.org/10.1111/j.1540-6261.2008.01316.x
   Web of Science ®Google Scholar
• Kim, J. S., & Ryu, D. (2015). Effect of the subprime mortgage crisis on a leading emerging market. Investment Analysts Journal, 44(1), 20–42. https://doi.org/10.1080/10293523.2015.994442
   Web of Science ®Google Scholar
• Kim, J. S., Ryu, D., & Seo, S. W. (2014). Investor sentiment and return predictability of disagreement. Journal of Banking & Finance, 42, 166–178. https://doi.org/10.1016/j.jbankfin.2014.01.017
   Web of Science ®Google Scholar
• Kling, G., & Gao, L. (2008). Chinese institutional investors’ sentiment. Journal of International Financial Markets, Institutions and Money, 18(4), 374–387. https://doi.org/10.1016/j.intfin.2007.04.002
   Google Scholar
• Kumar, A., & Lee, C. M. (2006). Retail investor sentiment and return comovements. The Journal of Finance, 61(5), 2451–2486. https://onlinelibrary.wiley.com/doi/full/10.1111/j.1540-6261.2006.01063.x
   Web of Science ®Google Scholar
• Liang, W. L. (2016). Sensitivity to investor sentiment and stock performance of open market share repurchases. Journal of Banking & Finance, 71, 75–94. https://doi.org/10.1016/j.jbankfin.2016.06.003
   Web of Science ®Google Scholar
• Liu, Y., Shang, Y., Shi, J., & Wang, S. (2016). A New Investor Sentiment Indicator Based on Return Decomposition. Journal of Systems Science and Information, 4(2), 121–130. https://doi.org/10.21078/JSSI-2016-121-10
   Google Scholar
• LiXu, C. (2010). Investor sentiment in Chinese stock market. Journal of Management, 23(3), 79–87. https://doi.org/10.3969/j.issn.1672-0334.2010.03.009
   Google Scholar
• Lu, R. Y.-C., Lee, H.-C., & Chiu, P. (2014). Institutional investor sentiment and market returns: Evidence from the Taiwan futures market. Romanian Journal of Economic Forecasting, 17(4), 140–167. http://www.ipe.ro/rjef/rjef4_14/rjef4_2014p140-167.pdf
   Web of Science ®Google Scholar
• Lu, X., Lai, K. K., & Liang, L. (2012). Dependence between stock returns and investor sentiment in Chinese markets: A copula approach. Journal of Systems Science and Complexity, 25(3), 529–548. https://doi.org/10.1007/s11424-012-9332-0
   Web of Science ®Google Scholar
• Ma, F., Wei, Y., & Huang, D. (2013). Multifractal detrended cross-correlation analysis between the Chinese stock market and surrounding stock markets. Physica A, 392(7), 1659–1670. https://doi.org/10.1016/j.physa.2012.12.010
   Web of Science ®Google Scholar
• Neal, R., & Wheatley, S. M. (1998). Do measures of investor sentiment predict returns? Journal of Financial and Quantitative Analysis, 33, 523–547. https://doi.org/10.2307/2331130
   Web of Science ®Google Scholar
• Nguyen, C., Bhatti, M. I., Komorníková, M., & Komorník, J. (2016). Gold price and stock markets nexus under mixed-copulas. Economic Modelling, 58, 283–292. https://doi.org/10.1016/j.econmod.2016.05.024
   Web of Science ®Google Scholar
• Ni, Z. X., Wang, D. Z., & Xue, W. J. (2015). Investor sentiment and its nonlinear effect on stock returns—New evidence from the Chinese stock market based on panel quantile regression model. Economic Modelling, 50, 266–274. https://doi.org/10.1016/j.econmod.2015.07.007
   Web of Science ®Google Scholar
• Niţoi, M., & Pochea, M. M. (2020). Time-varying dependence in European equity markets: A contagion and investor sentiment driven analysis. Economic Modelling, 86, 133–147. https://doi.org/10.1016/j.econmod.2019.06.007
   Web of Science ®Google Scholar
• Patton, A. J. (2006). Modelling asymmetric exchange rate dependence. International Economic Review, 47(2), 527–556. https://doi.org/10.1111/j.1468-2354.2006.00387.x
   Web of Science ®Google Scholar
• Ruan, L. (2018). Research on Sustainable Development of the Stock Market Based on VIX Index. Sustainability, 10(11), 4113. https://doi.org/10.3390/su10114113
   Web of Science ®Google Scholar
• Ryu, D. (2012). The effectiveness of the order-splitting strategy: An analysis of unique data. Applied Economics Letters, 19(6), 541–549. https://doi.org/10.1080/13504851.2011.587764
   Web of Science ®Google Scholar
• Sayim, M., & Rahman, H. (2015). An examination of US institutional and individual investor sentiment effect on the Turkish stock market. Global Finance Journal, 26, 1–17. https://doi.org/10.1016/j.gfj.2015.01.001
   Web of Science ®Google Scholar
• Sayim, M., Morris, P. D., & Rahman, H. (2013). The effect of US individual investor sentiment on industry-specific stock returns and volatility. Review of Behavioural Finance, 5(1), 58–76. https://doi.org/10.1108/RBF-01-2013-0006
   Google Scholar
• Schmeling, M. (2009). Investor sentiment and stock returns: Some international evidence. Journal of Empirical Finance, 16(3), 394–408. https://doi.org/10.1016/j.jempfin.2009.01.002
   Web of Science ®Google Scholar
• Seok, S. I., Cho, H., & Ryu, D. (2019). Firm-specific investor sentiment and daily stock returns. The North American Journal of Economics and Finance, 50, 100857. https://doi.org/10.1016/j.najef.2018.10.005
   Web of Science ®Google Scholar
• Shleifer, A., & Summers, L. H. (1990). The noise trader approach to finance. The Journal of Economic Perspectives, 4(2), 19–33. https://doi.org/10.1257/jep.4.2.19
   Web of Science ®Google Scholar
• Shunlin, S., & Yanchao, W. (2016). How does investor sentiment affect stock pricing? An empirical research based on IPO firms. Journal of Management Sciences in China, 19(5), 41–55. https://doi.org/10.3969/j.issn.1007-9807.2016.05.004
   Google Scholar
• Sklar, M. (1959). Fonctions de repartition an dimensions et leurs marges. Publications de l’Institut de Statistique de l’Universite de Paris, 8, 229–231.
   Google Scholar
• Smales, L. A. (2017). The importance of fear: Investor sentiment and stock market returns. Applied Economics, 49(34), 3395–3421. https://doi.org/10.1080/00036846.2016.1259754
   Web of Science ®Google Scholar
• Suh, J. (2003). ADRs and US market sentiment. Journal of Investing, 12(4), 87–95. https://doi.org/10.3905/joi.2003.319572
   Google Scholar
• Wang, M., & Sun, J. J. (2004). Stock market returns, volatility and the role of investor sentiment in China. Economic Research Journal, 10, 75–83. https://doi.org/CNKI:SUN:JJYJ.0.2004-10-008
   Google Scholar
• Wang, Y., Liu, L., & Gu, R. (2009). Analysis of efficiency for Shenzhen stock market based on multifractal detrended fluctuation analysis. International Review of Financial Analysis, 18(5), 271–276. https://doi.org/10.1016/j.irfa.2009.09.005
   Google Scholar
• Wang, Y. C., Tsai, J. J., & Lin, Y. (2016). The influence of Shanghai-Hong Kong Stock Connect on the Mainland China and Hong Kong stock markets. The International Journal of Business and Finance Research, 10(3), 1–10. https://ssrn.com/abstract=2912495
   Google Scholar
• WeiQi. L., & XinXin, L. (2014). Individual/institutional investor sentiment and stock returns: study based on Shanghai A-share market. Journal of Management Sciences in China, 17(3), 70-87. http://www.en.cnki.com.cn/Article_en/CJFDTOTAL-JCYJ201403008.htm
   Google Scholar
• Wen, F. H., Yang, X., Gong, X., Huang, C. X., & Yang, X. G. (2015). The research on investor sentiment contagion between China and U.S. based on the background of financial crisis. System Engineering Theory & Practice, 35(3), 623–629. http://www.sysengi.com/CN/abstract/abstract110851.shtml
   Google Scholar
• Xu, G., & Gao, W. (2019). Financial Risk Contagion in Stock Markets: Causality and Measurement Aspects. Sustainability, 11(5), 1402. https://doi.org/10.3390/su11051402
   Web of Science ®Google Scholar
• Xu, H. C., & Zhou, W. X. (2018). Sentiment index and market return considering the iVX. Journal of Management Sciences in China, (1), 7. https://dx.doi.org/CNKI:SUN:JCYJ.0.2018-01-007
   Google Scholar
• Yang, C., & Zhou, L. (2015). Investor trading behavior, investor sentiment and asset prices. The North American Journal of Economics and Finance, 34, 42–62. https://doi.org/10.1016/j.najef.2015.08.003
   Web of Science ®Google Scholar
• Yang, C., & Zhou, L. (2016). Individual stock crowded trades, individual stock investor sentiment and excess returns. The North American Journal of Economics and Finance, 38, 39–53. https://doi.org/10.1016/j.najef.2016.06.001
   Web of Science ®Google Scholar
• Yang, H., Ryu, D., & Ryu, D. (2017). Investor sentiment, asset returns and firm characteristics: Evidence from the Korean stock market. Investment Analysts Journal, 46(2), 132–147. https://doi.org/10.1080/10293523.2016.1277850
   Web of Science ®Google Scholar
• Yao, C. Z., Sun, B. Y., & Lin, J. N. (2017). A study of correlation between investor sentiment and stock market based on Copula model. Kybernetes, 46, 550–571. Advance online publication. https://doi.org/10.1108/K-10-2016-0297
   Web of Science ®Google Scholar
• Zouaoui, M., Nouyrigat, G., & Beer, F. (2011). How does investor sentiment affect stock market crises? Evidence from panel data. Financial Review, 46(4), 723–747. https://doi.org/10.1111/j.1540-6288.2011.00318.x
   Google Scholar