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

xiangxiang zhu

Abstract


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.


Keywords


Market Sentiment Index; Principal Component Analysis

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