Does Investor Sentiment Predict the Near-Term Returns of the Chinese Stock Market?
© 2018 International Review of Finance Ltd. Recent evidence on the relationship between investor sentiment and subsequent monthly market returns in China shows that investor sentiment is a reliable momentum predictor since an increase (decrease) in investor sentiment leads to higher (lower) future r...
| Main Authors: | , , |
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| Format: | Journal Article |
| Published: |
Wiley-Blackwell Publishing Asia
2018
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| Online Access: | http://hdl.handle.net/20.500.11937/68985 |
| _version_ | 1848761938119491584 |
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| author | Cheema, M. Man, Y. Szulczyk, Kenneth |
| author_facet | Cheema, M. Man, Y. Szulczyk, Kenneth |
| author_sort | Cheema, M. |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | © 2018 International Review of Finance Ltd. Recent evidence on the relationship between investor sentiment and subsequent monthly market returns in China shows that investor sentiment is a reliable momentum predictor since an increase (decrease) in investor sentiment leads to higher (lower) future returns. However, we suggest that momentum predictability of investor sentiment originates from the boom and bust period of 2006-2008 (the bubble period hereafter). The bubble period is characterized by several months of sustained optimism followed by several months of sustained pessimism, with the market consequently earning high (low) returns following high (low) sentiment months. Therefore, we find a strong positive association between investor sentiment and subsequent market returns during the bubble period. However, investor sentiment has a negligible impact on subsequent monthly market returns once we exclude the bubble period. |
| first_indexed | 2025-11-14T10:39:37Z |
| format | Journal Article |
| id | curtin-20.500.11937-68985 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T10:39:37Z |
| publishDate | 2018 |
| publisher | Wiley-Blackwell Publishing Asia |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-689852018-09-28T06:38:21Z Does Investor Sentiment Predict the Near-Term Returns of the Chinese Stock Market? Cheema, M. Man, Y. Szulczyk, Kenneth © 2018 International Review of Finance Ltd. Recent evidence on the relationship between investor sentiment and subsequent monthly market returns in China shows that investor sentiment is a reliable momentum predictor since an increase (decrease) in investor sentiment leads to higher (lower) future returns. However, we suggest that momentum predictability of investor sentiment originates from the boom and bust period of 2006-2008 (the bubble period hereafter). The bubble period is characterized by several months of sustained optimism followed by several months of sustained pessimism, with the market consequently earning high (low) returns following high (low) sentiment months. Therefore, we find a strong positive association between investor sentiment and subsequent market returns during the bubble period. However, investor sentiment has a negligible impact on subsequent monthly market returns once we exclude the bubble period. 2018 Journal Article http://hdl.handle.net/20.500.11937/68985 10.1111/irfi.12202 Wiley-Blackwell Publishing Asia restricted |
| spellingShingle | Cheema, M. Man, Y. Szulczyk, Kenneth Does Investor Sentiment Predict the Near-Term Returns of the Chinese Stock Market? |
| title | Does Investor Sentiment Predict the Near-Term Returns of the Chinese Stock Market? |
| title_full | Does Investor Sentiment Predict the Near-Term Returns of the Chinese Stock Market? |
| title_fullStr | Does Investor Sentiment Predict the Near-Term Returns of the Chinese Stock Market? |
| title_full_unstemmed | Does Investor Sentiment Predict the Near-Term Returns of the Chinese Stock Market? |
| title_short | Does Investor Sentiment Predict the Near-Term Returns of the Chinese Stock Market? |
| title_sort | does investor sentiment predict the near-term returns of the chinese stock market? |
| url | http://hdl.handle.net/20.500.11937/68985 |