Extreme Return, Extreme Volatility and Investor Sentiment

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成果类型：

期刊论文

作者：

Gong, Xu;Wen, Fenghua*;He, Zhifang;Yang, Jia;Yang, Xiaoguang;...

通讯作者：

Wen, Fenghua

作者机构：

[Wen, Fenghua; He, Zhifang; Gong, Xu] Cent S Univ, Business Sch, Changsha 410081, Hunan, Peoples R China.

[Gong, Xu] Xiamen Univ, China Inst Studies Energy Policy, Collaborat Innovat Ctr Energy Econ & Energy Polic, Xiamen 361005, Peoples R China.

[Gong, Xu] Xiamen Univ, Sch Econ, Xiamen 361005, Peoples R China.

[Yang, Jia] Changsha Univ Sci & Technol, Sch Econ & Management, Changsha 410114, Hunan, Peoples R China.

[Yang, Xiaoguang] Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China.

通讯机构：

[Wen, Fenghua] C

Cent S Univ, Business Sch, Changsha 410081, Hunan, Peoples R China.

语种：

英文

关键词：

Extreme return;Extreme volatility;Investor sentiment;Quantile regression

期刊：

FILOMAT

ISSN：

0354-5180

年：

2016

卷：

期：

页码：

3949-3961

DOI：

10.2298/FIL1615949G

基金类别：

National Natural Science Foundation of ChinaNational Natural Science Foundation of China (NSFC) [71371195, 71431008]; Major Program of National Social Science Foundation of ChinaNational Natural Science Foundation of China (NSFC) [14ZDA045]; Fundamental Research Funds for the Central Universities of Central South University [2014zzts006, 2015zzts006]

机构署名：

本校为其他机构

院系归属：

经济与管理学院

摘要：

The extreme return and extreme volatility have great influences on the investor sentiment in stock market. However, few researchers have taken the phenomenon into consideration. In this paper, we first distinguish the extreme situations from non-extreme situations. Then we use the ordinary generalized least squares and quantile regression methods to estimate a linear regression model by applying the standardized AAII, the return and volatility of SP 500. The results indicate that, except for extremely negative return, other return sequences can cause great changes in investor sentiment...

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