Construction of Investor Sentiment Index in the Chinese Stock Market

  • Yuxi Yang Waseda University
  • Takashi Hasuike Waseda University
Keywords: Investor sentiment, Chinese stock market, behavioral finance


This paper focuses on improving the adaptability of the investor sentiment index introduced by Baker and Wurgler in the Chinese stock market. Considering not all the original proxies for sentiment are suitable for Chinese stock market, a new combination of proxies to form the investor sentiment index is proposed. Based on this investor sentiment index, the relationship between investor sentiment and stock price index in Chinese stock market is found.


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