2,306
Views
8
CrossRef citations to date
0
Altmetric
Research Article

On the construction of Chinese stock market investor sentiment index

ORCID Icon, & | (Reviewing Editor)
Article: 1412230 | Received 24 Aug 2017, Accepted 10 Nov 2017, Published online: 08 Jan 2018

References

  • Baker, M., & Stein, J. C. (2004). Market liquidity as a sentiment indicator. Journal of Financial Markets, 7(3), 271–299.10.1016/j.finmar.2003.11.005
  • Baker, M., & Wurgler, J. (2006). Investor sentiment and the cross-section of stock returns. The Journal of Finance, 61(4), 1645–1680.10.1111/j.1540-6261.2006.00885.x
  • Baker, M., & Wurgler, J. (2007). Investor sentiment in the stock market. Journal of Economic Perspectives, 21(2), 129–151.10.1257/jep.21.2.129
  • Ben-Rephael, A., Kandel, S., & Wohl, A. (2012). Measuring investor sentiment with mutual fund flows. Journal of Financial Economics, 104(2), 363–382.10.1016/j.jfineco.2010.08.018
  • Fei, X. (2005). Research on investor behavior based on sentiment. Fudan University, 2005, 32–35.
  • Honghai, Y., Xindan, L., & Ziyang, G. (2015). Investor sentiment, disagreement and IPO puzzle in China’s stock market. Journal of Management Sciences in China, 18(3), 78–89.
  • Huang, D., Wen, F., & Yang, X. (2009). Investor sentiment index and empirical evidence from China’s stock market. Journal of systems science and Mathematical Sciences, 1, 1–13.
  • Huang, E. J. (2015). The role of institutional investors and individual investors in financial markets: Evidence from closed-end funds. Review of Financial Economics, 26, 1–11.10.1016/j.rfe.2015.05.001
  • Kim, T., & Ha, A. (2010). Investor sentiment and market anomalies.
  • Ma, R. W., & Zhang, N. (2015). The construction of investor sentiment index for China’s stock market: Based on the panel data of shanghai a share companies. Journal of Central University of Finance & Economics, 7, 007.
  • Mei, J., Scheinkman, J., & Xiong, W. (2009). Speculative trading and stock prices: Evidence from Chinese AB share premia (No. w11362). National Bureau of Economic Research.10.3386/w11362
  • Ning, Y. Z. M. (2009). Research on the measurement of investor sentiment in Chinese stock market: The CICSI’s construction. Journal of Financial Research, 11, 014.
  • Qiang, Z., & Shue, Y. (2009). Noise trading, investor sentiment volatility, and stock returns. Systems Engineering-Theory & Practice, 29(3), 40–47.10.1016/S1874-8651(10)60010-5
  • Yanran, W., & Liyan, H. (2007). Imperfect rationality, sentiment and closed end fund puzzle. Economic Research Journal, 3, 117–129.
  • Yuan, S. Z. F. L. (2012). Relationship between investor sentiment and stock characteristic. Systems Engineering-Theory & Practice, 1, 005.
  • Yumei, J., & Mingzhao, Wang (2010). Investor Sentiment and Stock Returns: An Empirical Study on Aggregate Effects and Cross-section Effects. Nankai Business Review, 13(3), 150–160.
  • Zhigao, Y., & Ning, M. (2008). A survey of the theory of excessive linkage in stock market. Economic dynamics, 8, 111–115.
  • Zweig, M. E. (1973). An investor expectations stock price predictive model using closed-end fund premiums. The Journal of Finance, 28(1), 67–78.10.1111/j.1540-6261.1973.tb01346.x