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Stock market behavior and investor sentiment: Evidence from China

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。

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Correspondence to Xindan Li.

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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

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Keywords

  • investor sentiment
  • volatility
  • newly opened stock trading accounts

关键词

  • 投资者情绪
  • 波动
  • 新开帐户数