An Empirical Study of the Effect of Investor Sentiment on Returns of Different Industries

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成果类型：

期刊论文

作者：

Huang, Chuangxia;Yang, Xin;Yang, Xiaoguang;Sheng, Hu*

通讯作者：

Sheng, Hu

作者机构：

[Huang, Chuangxia] Changsha Univ Sci & Technol, Sch Math & Comp Sci, Changsha 410114, Hunan, Peoples R China.

[Yang, Xiaoguang; Huang, Chuangxia] Chinese Acad Sci, Acad Math & Syst Sci, Beijing 10090, Peoples R China.

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

[Sheng, Hu] Cent South Univ, Sch Business, Changsha 410083, Hunan, Peoples R China.

通讯机构：

[Sheng, Hu] C

Cent South Univ, Sch Business, Changsha 410083, Hunan, Peoples R China.

语种：

英文

关键词：

Commerce;Industry;Principal component analysis;Different effects;Empirical studies;Investor sentiments;Markov regime-switching;Principle component analysis;Proxy variables;Stock market;Stock returns;Investments

期刊：

Mathematical Problems in Engineering

ISSN：

1024-123X

年：

2014

卷：

2014

期：

页码：

1-11

DOI：

10.1155/2014/545723

基金类别：

National Natural Science Foundation of ChinaNational Natural Science Foundation of China (NSFC) [11101053, 70921001, 71171024]; Key Project of Chinese Ministry of EducationMinistry of Education, China [211118]; Excellent Youth Foundation of Educational Committee of Hunan Provincial [10B002]; Hunan Provincial NSF [11JJ1001]; Scientific Research Funds of Hunan Provincial Science and Technology Department of China [2013SK3143]

机构署名：

本校为第一机构

院系归属：

经济与管理学院

数学与统计学院

摘要：

Studies on investor sentiment are mostly focused on the stock market, but little attention has been paid to the effect of investor sentiment on the return of a specific industry. This paper constructs a proxy variable to examine the relationship between investor sentiment and the return of a specific industry, using the Principle Component Analysis, and finds that investor sentiment is positively correlated with the industry return of the current period and negatively correlated with that of one lag period; we classify investor sentiment as opt...

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An Empirical Study of the Effect of Investor Sentiment on Returns of Different Industries

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