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《Journal of Systems Science and Mathematical Sciences》 2009-01
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INVESTOR SENTIMENT INDEX AND EMPIRICAL EVIDENCE FROM CHINA'S STOCK MARKET

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 can help people to correctly understand the mechanism of stock market,which further can be used to market regulation and investment strategy.On the basis of a comprehensive definition of investor sentiment,a theoretical analysis about the relationship between investor sentiment and spot return is given,and five hypotheses of investor sentiment are concluded.With the available proxies,the principal component analysis is used to build an investor sentiment index for China's stock market.EGARCH models are used to evaluate how movement of sentiment affects spot return and the different effects towards different types of stocks.These empirical results provide a good support for the theoretical analysis.
【Fund】: 国家自然科学基金(70425004);; 湖南省普通高等学校哲学社会科学重点研究基地经费的资助
【CateGory Index】: F224;F832.51
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