Construction of Investor Sentiment Index in the Chinese Stock Market

Yuxi Yang; Takashi Hasuike

doi:10.1109/IIAI-AAI.2017.93

Construction of Investor Sentiment Index in the Chinese Stock Market

Yuxi Yang, Takashi Hasuike

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

7 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 language	English
Title of host publication	Proceedings - 2017 6th IIAI International Congress on Advanced Applied Informatics, IIAI-AAI 2017
Publisher	Institute of Electrical and Electronics Engineers Inc.
Pages	23-28
Number of pages	6
ISBN (Electronic)	9781538606216
DOIs	https://doi.org/10.1109/IIAI-AAI.2017.93
Publication status	Published - 2017 Nov 15
Event	6th IIAI International Congress on Advanced Applied Informatics, IIAI-AAI 2017 - Hamamatsu, Shizuoka, Japan Duration: 2017 Jul 9 → …

Other

Other	6th IIAI International Congress on Advanced Applied Informatics, IIAI-AAI 2017
Country/Territory	Japan
City	Hamamatsu, Shizuoka
Period	17/7/9 → …

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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10.1109/IIAI-AAI.2017.93

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., 8113206, Institute of Electrical and Electronics Engineers Inc., pp. 23-28, 6th IIAI International Congress on Advanced Applied Informatics, IIAI-AAI 2017, Hamamatsu, Shizuoka, Japan, 17/7/9. https://doi.org/10.1109/IIAI-AAI.2017.93

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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.",

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AB - 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.

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ER -

Construction of Investor Sentiment Index in the Chinese Stock Market

Abstract

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Keywords

ASJC Scopus subject areas

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