The Nonlinear Relationship between Investor Sentiment, Stock Return, and Volatility
Joint Authors
Zhu, Shuzhen
He, Gang
Gu, Haifeng
Source
Discrete Dynamics in Nature and Society
Issue
Vol. 2020, Issue 2020 (31 Dec. 2020), pp.1-11, 11 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2020-03-22
Country of Publication
Egypt
No. of Pages
11
Main Subjects
Abstract EN
Based on the DSSW model, we analyze the nonlinear impact mechanism of investor sentiment on stock return and volatility by adjusting its hypothesis in Chinese stock market.
We examine the relationship between investor sentiment, stock return, and volatility by applying OLS regression and quantile regression.
Our empirical results show that the effects of investor sentiment on stock market return are asymmetric.
There is “Freedman effect” in Chinese stock market, but only optimistic sentiment has a significant nonlinear impact on stock market returns when the stock market is a balanced market or a bear market.
Meanwhile, “create the space effect” does exist in Chinese stock market too.
It only exists when the market is in equilibrium, and only pessimistic sentiment has the nonlinear effect on stock market volatility.
American Psychological Association (APA)
He, Gang& Zhu, Shuzhen& Gu, Haifeng. 2020. The Nonlinear Relationship between Investor Sentiment, Stock Return, and Volatility. Discrete Dynamics in Nature and Society،Vol. 2020, no. 2020, pp.1-11.
https://search.emarefa.net/detail/BIM-1153169
Modern Language Association (MLA)
He, Gang…[et al.]. The Nonlinear Relationship between Investor Sentiment, Stock Return, and Volatility. Discrete Dynamics in Nature and Society No. 2020 (2020), pp.1-11.
https://search.emarefa.net/detail/BIM-1153169
American Medical Association (AMA)
He, Gang& Zhu, Shuzhen& Gu, Haifeng. The Nonlinear Relationship between Investor Sentiment, Stock Return, and Volatility. Discrete Dynamics in Nature and Society. 2020. Vol. 2020, no. 2020, pp.1-11.
https://search.emarefa.net/detail/BIM-1153169
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1153169