Construction of Investor Sentiment Index in the Chinese Stock Market
Abstract
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.
References
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