Download or read book China s Stock Market Impact of Investor s Sentiment on Returns of Stocks written by Clement Bill and published by GRIN Verlag. This book was released on 2023-01-10 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: Academic Paper from the year 2021 in the subject Business economics - Investment and Finance, grade: 99.5, Peking University (BUSINESS INSTITUTE), course: Finance, language: English, abstract: This study examined the effect of investor sentiment on return in the China stock market for a period of nineteen years from 2000 to 2019. The survey used both granger causality and the OLS regression techniques to analyze the data. Accordingly, the findings from the study have revealed that investor sentiment has a remarkable positive impact on stock market returns by examining Treasury bills, consumer price index, and industrial production index. Also, the study has unfolded that unidirectional causality operates from investor sentiment to stock market returns. Reportedly, the study has established that stockholder sentiments have relatively lower explanatory power to returns on the stock market. Finally, this study posits the presence of dynamic correlation between the action of stock future returns and investor sentiment in China causes an increase in stock prices.
Download or read book The Efficiency of China s Stock Market written by Shiguang Ma and published by Routledge. This book was released on 2017-11-30 with total page 304 pages. Available in PDF, EPUB and Kindle. Book excerpt: By investigating the efficiency of China's stock market in accordance with the theoretical framework of the Efficient Market Hypothesis, this book focuses on weak form and semi-strong form market efficiency. Empirical tests have been intensively conducted on the random walk hypothesis, the presence of market seasonality and the price reaction to publicly released information. In addition The Efficiency of China's Stock Market provides a comparative analysis between China's stock market and other countries' stock markets.
Download or read book Individual Investors Social Media and Chinese Stock Market written by Yonghui Wu (S.M.) and published by . This book was released on 2016 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: Chinese stock market is a unique financial market where heavy involvement of individual investors exists. This article explores how the sentiment expressed on social media is correlated with the stock market in China. Textual analysis for posts from one of the most popular social media in China is conducted based on Hownet and NTUSD, two most commonly used sentiment Chinese dictionaries. The correlation matrices and regressions between sentiment ratios and returns of 9 holding periods for all the 30 sample securities reveal that correlation exists between investor sentiment on social media and the future returns of the Chinese stock market. In addition, I find that negative sentiment ratio is superior than positive sentiment ratio, and correlation of sentiment ratio to return is persistent in future holding periods. Also, by comparing different stocks and indices, I find that well-established market index has better correlation with social media sentiments than individual stocks, and well-known 'star' stocks have better correlation with social media than other stocks. However, I test the VAR model on Shanghai Composite Index, and find that the model is stable but shows no Granger causality. Better data and improved analysis are needed to predict stock market with social media.
Download or read book Demystifying China s Stock Market written by Eric Girardin and published by Springer Nature. This book was released on 2019-09-13 with total page 125 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mainstream research has rationalized China’s stock market on the basis of paradigms such as the institutional approach, the efficient market hypothesis, and corporate valuation principles. The deviations from such paradigms have been analyzed as puzzles of China’s stock market. Girardin and Liu explore to what extent, in the perspective of Chinese cultural and historical characteristics, far from being puzzles, these 'deviations’ are rather the symptoms of a consistent strategy for the design, development and regulation of a government-dominated financial system. This book will help investors, observers and researchers understand the hidden logic of the design and functioning of China’s modern stock market, taking a political economy view.
Download or read book Investor Sentiment and Stock Return written by Rui Yin and published by . This book was released on 2020 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper creates an investor sentiment index for the Chinese stock market based on the method of Baker and Wurgler. After construction of investor sentiment index, I perform an eyeball test and find similar trend for investor sentiment index and the SSE composite index. Deeper analysis using the granger causality test proves that the change of SSE composite index could lead to the change of investor sentiment index which can be explained by the "policy market" characteristics of Chinese stock market. In order to investigate the effect of investor sentiment on stock returns in terms of different styles of the company, I run a single-factor model and the sentiment beta results show that the change of investor sentiment has significant different effect on the return of stock with different market characteristics such as price, P/E ratio and P/B ratio. It is consistent with the market anomality that behavior finance has demonstrated such as low price effect and herd effect. Overall, it is important for us to take investor sentiment into consideration when investing in the market.
Download or read book The Chinese Stock Market written by Nicolaas Groenewold and published by Edward Elgar Publishing. This book was released on 2004 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: The emergence of a stock market in China only occurred a decade ago and it remains something of an unknown quantity to many observers and traders outside of the country. This book provides an extensive historical and empirical analysis of the Chinese stock-market, the development of which is an integral part of the process of economic modernization that began in China in the late 1970s. The authors address a variety of critical topics to assess the efficiency, predictability and profitability of the Chinese stock-market. They carefully examine the evolution and performance of the market over the past ten years and measure its level of efficiency using an array of empirical studies. The results reveal that not only is the stock market far from efficient but that it has also failed to properly integrate with other regional markets. Thus, the authors propose further reforms which they argue are necessary for the stock market to realize its full potential contribution to the operation of China's financial markets and to its continuing economic development. The stock market in China will undoubtedly grow in importance and international influence during the next ten years. As such, this valuable new book will be required reading for economic researchers, business economists and market analysts, as well as academics with an interest in Chinese business and Asian finance.
Download or read book How Does Investor Sentiment Have Impacts on Stock Returns and Volatility in the Growth Enterprise Market in China written by Jinshi Zheng and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation mainly explores the effect of investor sentiment on stock returns and volatility on Growth Enterprise in China using monthly data from Shenzhen Stock Exchange of China from June 2010 to November 2019. Using five explicit and market-related implicit indicators an investor sentiment has been measured and constructed with the help of principal component analysis. The analysis has been done by employing a vector autoregression(VAR) model and impulse response functions (IRFs) generated from a VAR model to examine the relationship between the unanticipated changes in investor sentiment and stock returns and volatility. We also establish EGARCH model to test the validity of previous results and if the asymmetric impact of positive and negative news on market returns volatility. The results show a significant impact of investor sentiment on stock return and volatility. We also document that there is a positive leverage effect between investor sentiment and the volatility of returns. The findings of this paper can help both individual and institutional investors have a better understanding of GEM market and improve their investment returns by incorporating investor sentiment into their asset forecasting model. This paper also provides policymakers guidance on reducing volatility on stock markets from the perspective of investor sentiment. Additionally, this paper has important contributions to behavioral finance and adds to the limited number of studies on investor sentiment and stock return in not only the Chinese market but emerging markets.
Download or read book Retail Investor Sentiment and Behavior written by Matthias Burghardt and published by Springer Science & Business Media. This book was released on 2011-03-16 with total page 170 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using a unique data set consisting of more than 36.5 million submitted retail investor orders over the course of five years, Matthias Burghardt constructs an innovative retail investor sentiment index. He shows that retail investors’ trading decisions are correlated, that retail investors are contrarians, and that a profitable trading strategy can be based on these aggregated sentiment measures.
Download or read book Investor Sentiment and the Predictability of Asset Returns written by Changsheng Hu and published by . This book was released on 2013 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: In contrast to previous studies, we redefine the category of "rationality" from the perspective of investors' pursuit for wealth maximization. Using the data from Chinese stock market, this paper studies the impact of rational and irrational sentiment on asset returns from short-term to long-run. We find that irrational sentiment has stable positive predictability on the future returns in short term while it is a reverse indicator in the long run. Meanwhile, the rational sentiment accurately forecasts both the future short-term and long-run returns. Our findings indicate that the predictability of investor sentiment on returns is closely related to time interval chosen in research and the level of feedback between investor sentiment and asset prices.
Download or read book The Impact of Social Media Sentiment on Chinese Stock Market written by Ge Yu and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using the newest data from a leading Chinese social media investing platform, I test the impact of the individual and institutional investor sentiment on stock market using VAR models. Although my results show that the investor sentiment can influence stock market, their impact is different: individual investor's sentiment is helpful in predicting the stock return while institutional investor's sentiment is helpful in predicting the trading volume. In addition, I find that the firm size can influence the impact of investor sentiment: for larger firms, the impact of sentiment is more obvious. My study suggests that it is meaningful to split the individual and institutional investor sentiment, and it is necessary to choose a balanced stock portfolio while studying the impact of investor sentiment.
Download or read book Have Financial Markets Become More Informative written by Jennie Bai and published by . This book was released on 2012-12-01 with total page 59 pages. Available in PDF, EPUB and Kindle. Book excerpt: The finance industry has grown, financial markets have become more liquid, and information technology allows arbitrageurs to trade faster than ever. But have market prices then become more informative? We use stock and bond prices to forecast earnings and find that the information content of market prices has not improved since 1960. We use a model with information acquisition and investment to link financial development, price informativeness, and allocational efficiency. As information costs fall, the predictable component of future earnings should rise and hence improve capital allocation and welfare. We find that this component has remained stable over the past 50 years. When we decompose price informativeness into real price efficiency and forecasting price efficiency, we find that both have remained stable.
Download or read book Does Investor Sentiment Predict Stock Returns The Evidence from Chinese Stock Market written by Hui Bu and published by . This book was released on 2017 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the proxy variables of investor sentiment in Chinese stock market carefully, and tries to construct an investor sentiment index indirectly. We use cross correlation analysis to examine lead-lag relationship between the proxy variables and HS300 index. The results show that net added accounts (NAA), SSE share turnover (TURN), and closed-end fund discount (CEFD) are leading variables to stock market. The average first day return of IPOs (RIPO) and relative degree of active trading in equity market (RDAT) are contemporary variables, while number of IPOs (NIPO) is a lagging variable of stock market. Using the sentiment proxy variables with most possible leading order, and forward selection stepwise regression method, the empirical results on monthly stock returns reveal that three leading proxy variables can be used to form a sentiment index. And the out of sample tests prove that this sentiment index has good predictive power of Chinese stock market, and it is robust.
Download or read book Relationship Between Individual Investor Sentiment with Its Volatility and Returns of Small Cap Stocks written by Qin Yong and published by . This book was released on 2015 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: Due to the irrational behavior of individual investors have a significant impact on the stock market, and Chinese stock market with inexperienced individual investors as the main body, our individual investor sentiment may play a more important role than in Western countries in the stock trading process. Therefore, this paper use ARMA-GARCH model to examine the relationship between the investor sentiment along its volatility and the small-cap stocks, which are individually described by newly opened stock trading accounts and the CSI 500. The results show that: The individual investor behavior exhibits a short-term ARCH effects and small-cap stocks exhibit short-term gain inertia; the high number of newly opened stock trading accounts responses to high small-cap stocks yields and display a "spillover effect" to market return; using newly opened stock trading accounts as individual investor sentiment index has great explanatory power to small-cap stocks in China.
Download or read book The Real Value of China s Stock Market written by Jennifer N. Carpenter and published by . This book was released on 2015 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: China is the world's largest investor and greatest contributor to global economic growth by wide margins, and will remain so for many years. The efficiency of its financial system in allocating capital to investment will be important to sustain this growth. This paper shows that China's stock market has a crucial role to play. Since the reforms of the last decade, China's stock market has become as informative about future corporate profits as in the US. Moreover, though it is a segmented market, Chinese investors price risk and other stock characteristics remarkably like investors in other large economies. They pay up for large stocks, growth stocks, and long shots, and they discount for illiquidity and market risk. China's stock market no longer deserves its reputation as a casino. In addition, the trend of stock price informativeness over the last two decades is highly correlated with that of corporate investment efficiency. China's stock market appears to be aggregating diffuse information and generating useful signals for managers. On the buy side, because of its low correlation with other stock markets and high average returns, China's stock market offers high alpha to diversified global investors who can access it. Yet this high alpha amounts to an inflated cost of equity capital, constraining the investment of China's smaller, more profitable enterprises. Further reforms that open this market to global investors and improve stock price informativeness will be important to increase China's investment efficiency and fuel its continued economic growth. Finally, we interpret the stock market's recent gyrations through the lens of this research, arguing that its post-crisis lag was a rational downward adjustment to competition from the rapidly expanding shadow banking sector, and its enormous rally last year is a cheer for the roll out of deposit insurance and other Third Plenum reforms. More than ever, China's stock market is a crucial counterpart to its extraordinary, relationship-driven, but opaque banking sector. China's stock market may now be the world's most important crystal ball.
Download or read book Does Investor Sentiment Predict the Near term Returns of the Chinese Stock Market written by Muhammad A. Cheema and published by . This book was released on 2018 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent evidence on the relationship between investor sentiment and subsequent monthly market returns in China shows that investor sentiment is a reliable momentum predictor since an increase (decrease) in investor sentiment leads to higher (lower) future returns. However, we suggest that momentum predictability of investor sentiment originates from the boom and bust period of 2006-2008 (the bubble period hereafter). The bubble period is characterized by several months of sustained optimism followed by several months of sustained pessimism, with the market consequently earning high (low) returns following high (low) sentiment months. Therefore, we find a strong positive association between investor sentiment and subsequent market returns during the bubble period. However, investor sentiment has a negligible impact on subsequent monthly market returns once we exclude the bubble period.
Download or read book To Get Rich is Glorious written by C. Walter and published by Springer. This book was released on 2001-05-14 with total page 263 pages. Available in PDF, EPUB and Kindle. Book excerpt: From village collectives in Southern China in the early 80s to the summer 1999 share rally, To Get Rich is Glorious provides a guide to twenty years of China's stock markets. The book analyses the changes that have occurred in all areas of China's securities business including legal, regulatory, share structure, issuers, investor base and market performance. Topics are placed in the context of the industry's overall development to highlight the market's current situation as China enters the new century.
Download or read book China Stock Market Handbook written by jshop.javvin.com and published by Javvin Technologies Inc.. This book was released on 2008 with total page 560 pages. Available in PDF, EPUB and Kindle. Book excerpt: This handbook is designed to help investors and financial professionals understand how China's stock market operates, and to harness their power to win more. It includes fundamental information of both the mainland China and Hong Kong markets.
