Full-Text Search:
Home|Journal Papers|About CNKI|User Service|FAQ|Contact Us|中文
《Journal of Beijing University of Aeronautics and Astronautics(Social Sciences Edition)》 2011-01
Add to Favorite Get Latest Update

Investor Sentiment and Stock Return:Comparison of Bull and Bear Market and Difference between Chinese and American Mark

Wang Yirong,Liu Shancun(School of Economics and Management,Beijing University of Aeronautics and Astronautics,Beijing 100191,China)  
This paper mostly focuses on comparing the relationships between investor sentiment and stock return in bull and bear markets as well as studying the difference of investor sentiment's influence on stock return between Chinese and American markets by using regression analysis,VAR model,impulsive function and some other methods.The investor sentiment indicators picked by this paper consist of BSI,CEFD and Consumer Confidence Index.An empirical analysis shows that:(1) In Chinese market the impact of investor sentiment on stock return in bear market is more significant than the effect of investor sentiment on stock return in bull market.(2) Investor sentiment has bigger influence on stock return in Chinese market than in American market.
【Fund】: 国家自然科学基金资助项目(70671006);; 全国优秀博士学位论文作者专项基金资助项目(200466)
【CateGory Index】: F224;F832.51
Download(CAJ format) Download(PDF format)
CAJViewer7.0 supports all the CNKI file formats; AdobeReader only supports the PDF format.
【Citations】
Chinese Journal Full-text Database 4 Hits
1 LIU Chao, HAN Ze-xian (School of Management Tianjin University, Tianjin 300072);An Empirical Analysis on the Connection between Investor Sentiment and the Composite Index of Shanghai Stock Exchange[J];Journal of Beijing Institute of Technology(Social Sciences Edition);2006-02
2 Wang Meijin & Sun Jianjun (Lingnan College, Sun Yat-sen University, Guangzhou, 510275);Stock Market Returns, Volatility and the Role of Investor Sentiment in China[J];Economic Research Journal;2004-10
3 YANG Chun-peng,CHUN-YU Song-tao,YANG Deng-ping,JIANG Wei(College of Economics,Qingdao University,Qingdao 266071,China);Survey of Investor Sentiment Index[J];Journal of Qingdao University(Natural Science Edition);2007-01
4 HUANG Delong(Academy of Mathematics and Systems Science,Chinese Academy of Sciences,Beijing 100190) WEN Fenghua YANG Xiaoguang(Academy of Mathematics and Systems Science,Chinese Academy of Sciences,Beijing 100190;School of Economics and Management,Changsha University of Science and Technology,Changsha 410076);INVESTOR SENTIMENT INDEX AND EMPIRICAL EVIDENCE FROM CHINA'S STOCK MARKET[J];Journal of Systems Science and Mathematical Sciences;2009-01
【Co-citations】
Chinese Journal Full-text Database 10 Hits
1 JIANG Ji-jiao,YANG Nai-ding,WANG Liang,DONG Tie-niu(School of Management,Northwestern Polytechnical University, Xi'an 710072,China);Key Influence Factors of Investor Sentiment in SHSE's A-Share Market[J];Journal of Finance and Economics;2006-09
2 HE Jing-tong,HUO Yan(Institute of Economics,Nankai University,Tianjin 300071,China);An Economics Analysis on the Divergence of Stock Price and Economic Performance[J];Modern Economic Science;2006-01
3 ZhANG Qiang1,YANG Shu-e2,YANG Hong1 (1.School of Management,Xi'an Jjiaotong University,Xi'an 710049,China;2.School of Finance,Shanghai Institute of Foreign Trade,Shanghai 201600,China);An Empirical Study on Investors' Sentiment and Stock Returns in Chinese Stock Market[J];Systems Engineering;2007-07
4 Qu Wenzhou;The Effect of Announced Information about Market Quotations on the Behavior of Dealers[J];Management World;2006-11
5 Jiang Jijiao Yang Naiding(Northwestern Polytechnical University,Xi'an,China);Industry Characteristic,Market Sentiment and Return Volatility[J];Chinese Journal of Management;2006-05
6 ZHOU Hui-ming (School of Administration,Putian University,Xiamen 351100,China);Investor Sentiment and Undue Fluctuations of Stock Market:Literature Review and Chinese Evidence[J];Journal of Guangxi University of Finance and Economics;2009-04
7 JI Shang-zhou;The Risk Preference of Medium and Small Investors under the Different Market Condition[J];International Business Research;2009-05
8 LIU Li-ya, DING Jian-ping,CHEN Zhen-yu, XIANG Heng-ning(School of Finance, Shanghai University of Finance and Economics, Shanghai 200433, China);Empirical Study on Influence of Investment Sentiment on the Stability of Capital Market:Analysis of Cross-sectional Effect[J];Journal of Finance and Economics;2010-03
9 YANG Yang,WAN Di-fang(School of Management,Xi'an Jiaotong University,Xi'an 710049,China);Relationship among Investor Sentiment,Stock Market Return and Volatility in Different Market States[J];Systems Engineering;2010-01
10 LI Bo(School of Management,Xiamen University,Xiamen 361005,China);Investors Sentiment,Way of IPO and Its First-day Revenue[J];Journal of Northeastern University(Social Science);2010-04
China Proceedings of conference Full-text Database 3 Hits
1 HE Xiaozhou, JIANG Ruiling (School of Economics and Business Administration, Chongqing University, Chongqing 400030);A Study of Formation Mechanism of Sec urities Market Sentiment[A];[C];2008
2 ZHANG Qiang YANG Shu-e (School of Finance,Shanghai Institute of Foreign Trade,Shanghai 201620 China);Noise Trading,Investor Sentiment Volatility and Stock Returns[A];[C];2008
3 ;A new perspective of IPO under-pricing —— Based on explanation of intellectual capital disclosure levels[A];[C];2009
【Secondary Citations】
Chinese Journal Full-text Database 10 Hits
1 WANG Chun-feng,ZHAO Wei,FANG Zhen-ming (School of Management,Tianjin University,Tianjin 300072,China);A Measure Method of New Issue's Investor Sentiment and the Relationship Between It and New Issue's Price Behaviors[J];Systems Engineering;2007-07
2 LIU Chao (School of Management,Tianjin University,Tianjin 300072,China);An Empirical Analysis on the Connection between Investor Sentiment and Activity in Chinese Stock Market[J];Journal of Harbin Institute of Technology(Social Sciences Edition);2006-05
3 ZHANG Yi-hao (School of Business, Nanjing University,Nanjing,Jiangsu 210093);The Influence on Economics by Psychology[J];Economist;2004-01
4 JINQUAN LIU CHANG CUI (Jilin University);The Positive Analysis of Stock Returns and Volatilities in China's Stock Markets[J];China Economic Quarterly;2002-03
5 Sun Peiyuan & Shi Donghui (Antai Management School,Shanghai Jiaotong University; Strategic Committee,Shanghai Stock Exchange);CAPM Based Study of Herd Behavior:Evidence from Chinese Stock Market and Discussion with Song Jun and Wu Chongfent[J];Economic Research Journal;2002-02
6 Wang Wei & Zhou Yu (School of Economics,Zhejiang University);An Empirical Study on the Size Effect and Time Effect of the Stock Market in China ——Based on Shanghai Stock Market[J];Economic Research Journal;2002-10
7 Li Xindan,Wang Jining & Fu Hao (Nanjing University);Investigations on the Transaction Behaviors of Chinese Individual Securities Investors[J];Economic Research Journal;2002-11
8 Wang Meijin & Sun Jianjun (Lingnan College, Sun Yat-sen University, Guangzhou, 510275);Stock Market Returns, Volatility and the Role of Investor Sentiment in China[J];Economic Research Journal;2004-10
9 Wu Yanran and Han Liyan(School of Economics and Management, Beihang University);Imperfect Rationality,Sentiment and Closed end fund Puzzle[J];Economic Research Journal;2007-03
10 Cheng Xingyuan Zhang Tianyu Cheng Donghua;A Cross-Sectional Multi-Factor Analysis of Expected Stock Returns:Empirical Evidence fromChina Stock Market[J];Journal of Finance;2001-06
©2006 Tsinghua Tongfang Knowledge Network Technology Co., Ltd.(Beijing)(TTKN) All rights reserved