Full-Text Search:
Home|Journal Papers|About CNKI|User Service|FAQ|Contact Us|中文
《Statistics & Decision》 2018-17
Add to Favorite Get Latest Update

Construction of Comprehensive Measure Index of Investor Sentiment

He Gang;Zhu Shuzhen;Gu Haifeng;School of Finance, Shanghai Lixin University of Accounting and Finance;Aurora College of Business Administration, Donghua University;  
This paper selects the emotional agent indicators on a weekly basis and uses partial least squares method and Lasso regression method to construct the composite index of investor sentiment, and then compares the fitting effect of the two methods from three aspects. The study result finds that the Lasso regression method is more suitable for constructing the composite index of investor sentiment.
【CateGory Index】: F832.51;F224
Download(CAJ format) Download(PDF format)
CAJViewer7.0 supports all the CNKI file formats; AdobeReader only supports the PDF format.
©2006 Tsinghua Tongfang Knowledge Network Technology Co., Ltd.(Beijing)(TTKN) All rights reserved