Investor sentiment and stock market: Evidence from China
This study carefully examines the relationship between investor sentiment and stock market returns, investor sentiment and stock market volatility in the Chinese stock market during the sample period from January 2003 to May 2022. First, the average closed-end fund discount, share turnover, the numb...
| Main Author: | |
|---|---|
| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2022
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| Online Access: | https://eprints.nottingham.ac.uk/70882/ |
| _version_ | 1848800635481227264 |
|---|---|
| author | Zhou, Xiaoqing |
| author_facet | Zhou, Xiaoqing |
| author_sort | Zhou, Xiaoqing |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | This study carefully examines the relationship between investor sentiment and stock market returns, investor sentiment and stock market volatility in the Chinese stock market during the sample period from January 2003 to May 2022. First, the average closed-end fund discount, share turnover, the number on IPOs, average first-day returns on IPOs, the number of new investor accounts, and the consumer confidence index are used as proxy variables and a comprehensive index of investor sentiment suitable for the Chinese stock market is also constructed using Principal component analysis. Then, the positive relationship between investor sentiment and stock market returns was determined by using Vector autoregressive, and the bidirectional causality relationship between the two was further clarified by using the Granger causality test. Afterwards, GARCH is applied to capture market volatility and the relationship between investor sentiment and stock market volatility was tested empirically. The results show that there is also a positive relationship between investor sentiment and stock market volatility, and this effect is intertemporal. Finally, based on the findings of the paper, this research puts forward relevant suggestions for investors and regulators respectively. |
| first_indexed | 2025-11-14T20:54:42Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-70882 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T20:54:42Z |
| publishDate | 2022 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-708822023-07-07T10:52:37Z https://eprints.nottingham.ac.uk/70882/ Investor sentiment and stock market: Evidence from China Zhou, Xiaoqing This study carefully examines the relationship between investor sentiment and stock market returns, investor sentiment and stock market volatility in the Chinese stock market during the sample period from January 2003 to May 2022. First, the average closed-end fund discount, share turnover, the number on IPOs, average first-day returns on IPOs, the number of new investor accounts, and the consumer confidence index are used as proxy variables and a comprehensive index of investor sentiment suitable for the Chinese stock market is also constructed using Principal component analysis. Then, the positive relationship between investor sentiment and stock market returns was determined by using Vector autoregressive, and the bidirectional causality relationship between the two was further clarified by using the Granger causality test. Afterwards, GARCH is applied to capture market volatility and the relationship between investor sentiment and stock market volatility was tested empirically. The results show that there is also a positive relationship between investor sentiment and stock market volatility, and this effect is intertemporal. Finally, based on the findings of the paper, this research puts forward relevant suggestions for investors and regulators respectively. 2022-09-08 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/70882/1/20222491_BUSI4020_2021_22.docx Zhou, Xiaoqing (2022) Investor sentiment and stock market: Evidence from China. [Dissertation (University of Nottingham only)] |
| spellingShingle | Zhou, Xiaoqing Investor sentiment and stock market: Evidence from China |
| title | Investor sentiment and stock market: Evidence from China |
| title_full | Investor sentiment and stock market: Evidence from China |
| title_fullStr | Investor sentiment and stock market: Evidence from China |
| title_full_unstemmed | Investor sentiment and stock market: Evidence from China |
| title_short | Investor sentiment and stock market: Evidence from China |
| title_sort | investor sentiment and stock market: evidence from china |
| url | https://eprints.nottingham.ac.uk/70882/ |