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A Study On Investor Sentiment Of Chinese Financial Market

Posted on:2006-10-09Degree:DoctorType:Dissertation
Country:ChinaCandidate:Z X HanFull Text:PDF
GTID:1119360182475517Subject:Management Science and Engineering
Abstract/Summary:PDF Full Text Request
Althought the standard finance gives no role to investor sentiment, investor sentiments is animportant part and play a very important role in the developing behavior finance.The meaning of investor sentiment research reads as follow: 1st, it can give hint tounderstanding investors' behavior;2nd, it is useful to learn the interaction of market returns,variability and trade volume;3rd, to which extant it is an opportunity to earn extra returns can bedeclosed;Fourth, it is helpful for the government to take policy and control the market.In a narrow sense, investor sentiment can be sorted into three categories: direct, indirect anddeputy investor sentiment. Each kind of investor sentiment and its impact on market are analyzedby experimental method.In this paper, the concept and the quantization of investor sentiment isdiscussed thoroughly. Even more, the relationship between variables of direct, indirect and deputyinvestor sentiment, and the effect of each investor sentiment variables' on major characteristics ofdomestic market are worked over and summarized.The main discovery of the thesis is: 1st, historical market returns is a important determinativefactor of investor sentiment;2nd, investor sentiment have some forecasting ability of marketreturns;3rd, not only individual investor and small stocks but also institutional investors areinfluenced by investor sentiment. Institutional investors also are "noise dealers ".4th, the directinvestor sentiment play an important role in the CEFD.Under the frame of the behavior finance, the relation and inherent mechanism between suchfactors as environment (sunshine, rain and snow etc.) and human biological clock (such as SADand Lunar cycle phenomenon) and China's securities market returns are studied. The conclusion isthere is weather effect, SAD effect and lunar the cycle effect with market returns.maybe, it is thefrist one who found those effects.In this paper, many mathematic and econometric method are used, some of themare statistical analysis, regressive analysis, Grainger analysis, vector auto regression Logit modeland co-integration analysis etc.The overall characteristic of the thesis are inventive, systematic, market oriented and suitablefor market supervision.
Keywords/Search Tags:Behaviorial financee, investor sentiment, market returns, forecasting
PDF Full Text Request
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