Name
Title | ||
|---|---|---|
Dependence between stock returns and investor sentiment in Chinese markets: A copula approach. |
Abstract | ||
|---|---|---|
Using data of newly opened stock trading accounts in China as a proxy of investor sentiment index, the authors employ the time-varying copula-GARCH model with Hansen's skewed Student-t innovations to investigate the dynamic dependence between investor sentiment and stock returns. The empirical findings show that shifts in investor sentiment are asymptotically positively correlated to stock returns in extreme value situations in both A shares market and B shares market in China, that is to say, stock prices will increase (decrease) more when investors become more bullish (bearish). Also, results show that the dependence between investor sentiment and stock returns is time-varying, which means that the traditional Pearson's correlation based on normal distribution is not enough to describe the relationship between stock market behavior and investor behavior. |
Year | DOI | Venue |
|---|---|---|
2012 | 10.1007/s11424-012-9332-0 | JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY |
Keywords | Field | DocType |
Behavioral finance,copula,GARCH,investor sentiment,newly opened stock trading accounts | Econometrics,Mathematical optimization,Normal distribution,Copula (linguistics),Extreme value theory,Behavioral economics,Autoregressive conditional heteroskedasticity,Stock market,Stock trading,Mathematics | Journal |
Volume | Issue | ISSN |
25 | 3 | 1009-6124 |
Citations | PageRank | References |
1 | 0.40 | 0 |
Authors | ||
6 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| xunfa | 1 | 1 | 0.40 |
| Kin Keung Lai | 2 | 1766 | 203.01 |
| Kin Keung Lai | 3 | 1766 | 203.01 |
| kin | 4 | 1 | 0.40 |
| keung | 5 | 1 | 0.40 |
| liang | 6 | 1 | 0.40 |