Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/194745 
Year of Publication: 
2017
Citation: 
[Journal:] Cogent Economics & Finance [ISSN:] 2332-2039 [Volume:] 5 [Issue:] 1 [Publisher:] Taylor & Francis [Place:] Abingdon [Year:] 2017 [Pages:] 1-20
Publisher: 
Taylor & Francis, Abingdon
Abstract: 
Measuring investor sentiment has become one of the most widely examined areas in behavioral finance. For the purpose of measuring investor sentiment more accurately, we classify the investor sentiment proxy into six market dimensions for the first time, and construct the investor sentiment monitoring index system. By using PCA method and excluding macroeconomic factors, we construct comprehensive investor sentiment index in Chinese stock market. Our results show this index as a good prediction ability to stock market.
Subjects: 
investor sentiment
monitoring system
composite index
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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