 Time-varying lead–lag structure between investor sentiment and stock marketCan-Zhong Yao and Hong-Yu Li The North American Journal of Economics and Finance, 2020, vol. 52, issue C Abstract: This paper uses the thermal path method to study the lead–lag structure of sentiment and the stock market. First, based on principal component analysis, four indicators are selected to construct the sentiment index. Furthermore, the effectiveness of the thermal path method is verified by numerical simulation. Finally, the lead-lag characteristics of the Shanghai Stock Index and the sentiment index are studied via the symmetric thermal optimal path method. The analysis results show that in the short term, investor sentiment has a leading position in the stock market, which may be related to the herd effect and buying the winners behavior. However, over a longer period of time, investor sentiment is affected mainly by fluctuation in the market, which may be related to the existence of cyclical fluctuations in the market and futures arbitrage. In addition, the stock market's leading effect appears mainly from January 2006 to January 2012, with an average lead time of one month. Keywords: Lead–lag structure; Investor sentiment; Symmetric thermal optimal path (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819303973 DOI: 10.1016/j.najef.2020.101148 Access Statistics for this article The North American Journal of Economics and Finance is currently edited by Hamid Beladi More articles in The North American Journal of Economics and Finance from Elsevier |
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