A principal component approach to measuring investor sentiment in China

Chen, Chien-Jen; Chong, Terence Tai Leung; She, Yingni

doi:10.1080/14697688.2013.869698

Cited by 68 publications

(48 citation statements)

References 22 publications

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“…The index has been created by following the methodology of Chen et al (2010) and Chen et al (2014) for the development of the modified index while Rehman (2013) is followed to examine the relationship between stock market returns and sentiment index. The methodology has been used for Turkey and Pakistan separately.…”

Section: Research Methodology and Modelsmentioning

confidence: 99%

“…This study showed that both stocks and bills' price positively correlate with investors' mood and also that higher asset prices are associated with better mood. This paper is going to follow the footsteps of Chen et al (2010) and Chen, Chong, and She (2014) to examine the influence of foreign developed countries on the local developing country with some modification in the index created by them. Also the study of Rehman (2013) is followed to check the relationship of sentiment index and returns of developing stock markets.…”

Section: Literature Reviewmentioning

confidence: 99%

“…It is the change in the local market index to capture the mood swings of the investors as in the methodology of Chen et al (2010) and Chen et al (2014) used short-selling volume for this but we have no availability of short selling data in Pakistan and Turkey. This proxy has been adopted from the study of Daszynska-Zygadlo, Szpulak, and Szyszka (2014) as they have also used it in their sentiment index.…”

Section: Change In the Local Market Indexmentioning

confidence: 99%

“…The selection of these proxies is sometimes arbitrary, depending upon the purpose of the study and the availability of data. This study has adopted the methodology of Chen et al (2010) and Chen et al (2014) with a little modification in the variable of short selling because the data on short selling are not available in Pakistan as well as in Turkey, rest of all other proxies are same.…”

Section: Market Data As Proxies Approachmentioning

confidence: 99%

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How investor sentiments spillover from developed countries to developing countries?

Rehman

Abidin

Rizwan

et al. 2017

Cogent Economics & Finance

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This paper applies a sentiment index to check the influence of regional developed countries like Japan and Germany on the sentiments in regional developing countries like Pakistan and Turkey, respectively. The index has been created using a principal component approach with modified proxies. The results indicate that there is a significant influence of developed markets on developing markets also the sentiment index created in this study is good indicator regarding the return pattern of the stock exchange. This study has followed the footsteps of previous studies for methodology and the time period which is used ranged from 29 December 2004 to 31 December 2014. The weekly data has been collected with Wednesday prices so to avoid the white noise, start-of-the week and end-of-the week effect.

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Section: Research Methodology and Modelsmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

Section: Change In the Local Market Indexmentioning

confidence: 99%

Section: Market Data As Proxies Approachmentioning

confidence: 99%

See 2 more Smart Citations

How investor sentiments spillover from developed countries to developing countries?

Rehman

Abidin

Rizwan

et al. 2017

Cogent Economics & Finance

View full text Add to dashboard Cite

show abstract

“…They identified six proxies of IS which could explain the variation in stock returns. Their approach of developing a composite index has been adopted in many studies including those of (Chen et al, 2010), (Finter et al, 2012) and (Chen et al, 2014) for developed markets of US, Hong Kong, Germany, France, Canada, Japan etc. Apart from the composite sentiment index, market performance indices have also developed to measure IS.…”

Section: Literature Reviewmentioning

confidence: 99%

Untitled

2017

AJER

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This paper aims to understand the relation between contemporaneous stock market returns and investor sentiments in Indian context. The analysis is done for daily data over a range of five years. Market measure proxies of investor sentiments including the market mood index and the volatility index are examined to explore their nature of association with the stock market returns. The results show that changes in sentiments have a higher explanatory power than sentiments at level when determining statistically significant relation with stock market returns. While the market mood index indicating optimism is positively related with stock returns, the VIX index also referred to as the fear guard index has a negative relation with stock returns. Moreover the market mood index seems to granger cause stock market returns and exhibit a long run association with stock market returns. With presence of sentiments impacting stock market returns established, more studies in context of developing countries are needed to understand the temporal dynamics between sentiments and stock markets. Contribution/ OriginalityThe current study examines the relationship between daily Indian contemporaneous stock market returns and investor sentiments over a time frame of five years. It had used two indices named market mood index and volatility index as proxies of investor sentiments to represent both optimism and fear in the market.

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AVIX: An Improved VIX Based on Stochastic Interest Rates and an Adaptive Screening Mechanism

Zheng

Jiang

Chen

2016

Journal of Futures Markets

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An improved model-free implied variation index (AVIX) is proposed in this article. The AVIX is developed under a generalized semi-martingale process with stochastic interest rates. An adaptive option screening mechanism is proposed to accommodate different market conditions. The effect of dividend protection is also considered. An empirical study of the China 50 ETF option market suggests that the AVIX is a better barometer of aggregate implied variation and investor sentiment than the traditional VIX. It reacts to market changes more rapidly and more sensitively. The AVIX also contains more information about future volatility and provides a more efficient forecast of future realized volatility.

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A principal component approach to measuring investor sentiment in China

Cited by 68 publications

References 22 publications

How investor sentiments spillover from developed countries to developing countries?

How investor sentiments spillover from developed countries to developing countries?

Untitled

AVIX: An Improved VIX Based on Stochastic Interest Rates and an Adaptive Screening Mechanism

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