Investor Sentiment and Volatility of Stock Index --An Empirical Analysis from the Perspective of Behavioral Finance

xiangxiang zhu


In this paper, some proxy indicators are selected to represent market sentiment. Then a principal component analysis is applied to those indicators to construct a market sentiment index. The result shows that this index has a strong correlation with shanghai composite index which stands for the trend of stock market. The market index is helpful to estimate the future trend of stock market.


Market Sentiment Index; Principal Component Analysis

Full Text:



  • There are currently no refbacks.

Creative Commons License
This work is licensed under a Creative Commons Attribution 3.0 License.

AAEF©: World Science Publisher United States