A PLS Approach to Measuring Investor Sentiment in Chinese Stock Market
Joint Authors
Zhu, Shuzhen
He, Gang
Gu, Haifeng
Source
Discrete Dynamics in Nature and Society
Issue
Vol. 2017, Issue 2017 (31 Dec. 2017), pp.1-6, 6 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2017-08-06
Country of Publication
Egypt
No. of Pages
6
Main Subjects
Abstract EN
We select five objective sentiment indicators and one subjective sentiment indicator to build investor sentiment composite index in Chinese stock market by using the partial least squares.
The reason why we do that is to improve the shortcomings of the principal component analysis, which was adopted to build investor sentiment composite index in the pioneering research.
Moreover, due to the large proportion of individual investors in Chinese stock market and the rapid change of investor sentiment, we innovatively use the weekly data with smaller information granularity and higher frequency.
Through empirical tests for its reasonability and market’s predictive capability, we find that this index appears to fit the data better and improves prediction.
American Psychological Association (APA)
He, Gang& Zhu, Shuzhen& Gu, Haifeng. 2017. A PLS Approach to Measuring Investor Sentiment in Chinese Stock Market. Discrete Dynamics in Nature and Society،Vol. 2017, no. 2017, pp.1-6.
https://search.emarefa.net/detail/BIM-1151206
Modern Language Association (MLA)
He, Gang…[et al.]. A PLS Approach to Measuring Investor Sentiment in Chinese Stock Market. Discrete Dynamics in Nature and Society No. 2017 (2017), pp.1-6.
https://search.emarefa.net/detail/BIM-1151206
American Medical Association (AMA)
He, Gang& Zhu, Shuzhen& Gu, Haifeng. A PLS Approach to Measuring Investor Sentiment in Chinese Stock Market. Discrete Dynamics in Nature and Society. 2017. Vol. 2017, no. 2017, pp.1-6.
https://search.emarefa.net/detail/BIM-1151206
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1151206