Skip to main content
Frontiers of Business Research in China
Download PDF
  • Research Article
  • Published:

Stock market behavior and investor sentiment: Evidence from China

Frontiers of Business Research in China volume 2, pages 277–282 (2008)Cite this article

Abstract

The relationship among stock returns, market volatilities and individual investor sentiment is an important topic in behavioral economics and finance. This paper uses a unique data set—China’s newly opened stock trading accounts to test the relationships among stock returns, volatilities and individual investor sentiment in the Chinese stock market. It is found that there is a positive relationship between shifts in sentiment and stock returns, and that shifts in sentiment are negatively correlated with market volatility, that is to say, volatility increases (decreases) when investors become more bearish (bullish).

摘要

股票市场行为与投资者情绪关系是行为经济学和金融学研究的一个重要内容。 运用中国股市投资者新开帐户数目这一独特的情绪指标来检验股市收益、 波动和投资者情绪的关系, 发现股市收益和投资者情绪指标存在正向关系: 市场波动与投资者情绪负相关。

References

  • Baker M, Stein J C(2004). Market liquidity as a sentiment indicator. Journal of Financial Markets, (7): 271–299

  • Baker M, Stein J(2004). Market liquidity as a sentiment indicator. Journal of Financial Markets, (7): 271–299

  • De Long J B, Shleifer A, Summers L H, Waldmann R J(1990). Noise trader risk in financial markets. Journal of Political Economy, (4): 703–738

  • Glosten L R, Jagannathan R, Runkle D E(1993). The relationship between expected value and the volatility of the nominal excess return on stocks. Journal of Finance, 48: 1779–1801

    Article  Google Scholar 

  • Lee W Y, Jiang C X, Indro D C(2002). Stock market volatility, excess returns, and the role of investor sentiment. Journal of Banking and Finance, (26): 2277–2299

  • Li Xindan(2004). Behavioral Finance: Theory and Evidence from Chinese Stock Market. Shanghai: Sanlian Shudian

  • Nelson D B(1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, (59): 347–370

Download references

Author information

Authors and Affiliations

  1. School of Management and Engineering, Nanjing University, Nanjing, 210093, China

    Xindan Li & Bing Zhang

Authors
  1. Xindan Li
    View author publications

    You can also search for this author in PubMed Google Scholar

  2. Bing Zhang
    View author publications

    You can also search for this author in PubMed Google Scholar

Corresponding author

Correspondence to Xindan Li.

Rights and permissions

Reprints and permissions

About this article

Cite this article

Li, X., Zhang, B. Stock market behavior and investor sentiment: Evidence from China. Front. Bus. Res. China 2, 277–282 (2008). https://doi.org/10.1007/s11782-008-0016-5

Download citation

  • Received:

  • Published:

  • Issue Date:

  • DOI: https://doi.org/10.1007/s11782-008-0016-5

Keywords

关键词