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