A PLS Approach to Measuring Investor Sentiment in Chinese Stock Market

Gang He, Shuzhen Zhu and Haifeng Gu

Discrete Dynamics in Nature and Society, 2017, vol. 2017, 1-6

Abstract:

We select five objective sentiment indicators and one subjective sentiment indicator to build investor sentiment composite index in Chinese stock market by using the partial least squares. The reason why we do that is to improve the shortcomings of the principal component analysis, which was adopted to build investor sentiment composite index in the pioneering research. Moreover, due to the large proportion of individual investors in Chinese stock market and the rapid change of investor sentiment, we innovatively use the weekly data with smaller information granularity and higher frequency. Through empirical tests for its reasonability and market’s predictive capability, we find that this index appears to fit the data better and improves prediction.

Date: 2017
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://downloads.hindawi.com/journals/DDNS/2017/2387543.pdf (application/pdf)
http://downloads.hindawi.com/journals/DDNS/2017/2387543.xml (text/xml)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hin:jnddns:2387543

DOI: 10.1155/2017/2387543

Access Statistics for this article

More articles in Discrete Dynamics in Nature and Society from Hindawi
Bibliographic data for series maintained by Mohamed Abdelhakeem ().