Construction of Investor Sentiment Index in the Chinese Stock Market

Yuxi Yang, Takashi Hasuike

    Research output: Chapter in Book/Report/Conference proceedingConference contribution

    4 Citations (Scopus)

    Abstract

    This paper focuses on improving the adaptability of the investor sentiment index introduced by Baker and Wurgler[1] in the Chinese stock market. Considering not all the original proxies for sentiment are suitable for Chinese stock market, a new combination of proxies to form the investor sentiment index is proposed. Based on this investor sentiment index, the relationship between investor sentiment and stock price index in Chinese stock market is found.

    Original languageEnglish
    Title of host publicationProceedings - 2017 6th IIAI International Congress on Advanced Applied Informatics, IIAI-AAI 2017
    PublisherInstitute of Electrical and Electronics Engineers Inc.
    Pages23-28
    Number of pages6
    ISBN (Electronic)9781538606216
    DOIs
    Publication statusPublished - 2017 Nov 15
    Event6th IIAI International Congress on Advanced Applied Informatics, IIAI-AAI 2017 - Hamamatsu, Shizuoka, Japan
    Duration: 2017 Jul 9 → …

    Other

    Other6th IIAI International Congress on Advanced Applied Informatics, IIAI-AAI 2017
    CountryJapan
    CityHamamatsu, Shizuoka
    Period17/7/9 → …

    Keywords

    • Behavioral finance
    • Chinese stock market
    • Investor sentiment

    ASJC Scopus subject areas

    • Artificial Intelligence
    • Computer Networks and Communications
    • Computer Science Applications
    • Information Systems
    • Information Systems and Management

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  • Cite this

    Yang, Y., & Hasuike, T. (2017). Construction of Investor Sentiment Index in the Chinese Stock Market. In Proceedings - 2017 6th IIAI International Congress on Advanced Applied Informatics, IIAI-AAI 2017 (pp. 23-28). [8113206] Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.1109/IIAI-AAI.2017.93