![]() " Do sentiments influence market dynamics? A reconstruction of the Brazilian stock market and its mood," Araújo, Tanya & Eleutério, Samuel & Louçã, Francisco, 2018.International Review of Financial Analysis, Elsevier, vol. " Can the Chinese volatility index reflect investor sentiment?," Long, Wen & Zhao, Manyi & Tang, Yeran, 2021.Review of Financial Economics, Elsevier, vol. " The role of institutional investors and individual investors in financial markets: Evidence from closed-end funds," " Does investor sentiment affect fund crashes? Evidence from Chinese open-end funds," Wang, Hu & Li, Shouwei & Ma, Yuyin & Jiang, Shuyang, 2022.Physica A: Statistical Mechanics and its Applications, Elsevier, vol. " Sentiment contagion analysis of interacting investors: Evidence from China’s stock forum," Shi, Yong & Tang, Ye-ran & Long, Wen, 2019.The North American Journal of Economics and Finance, Elsevier, vol. " Individual stock crowded trades, individual stock investor sentiment and excess returns," The Quarterly Review of Economics and Finance, Elsevier, vol. " The impact of individual and institutional investor sentiment on the market price of risk," Journal of Empirical Finance, Elsevier, vol. " Investor sentiment and the near-term stock market," " Investor co-attention and stock return co-movement: Evidence from China’s A-share stock market," " Investor sentiment and Bitcoin relationship: A quantile-based analysis," Mokni, Khaled & Bouteska, Ahmed & Nakhli, Mohamed Sahbi, 2022.Journal of Business Research, Elsevier, vol. " Sentiment change and negative herding: Evidence from microblogging and news," Kim, Jikyung (Jeanne) & Dong, Hang & Choi, Jeonghye & Chang, Sue Ryung, 2022.International Journal of Energy Economics and Policy, Econjournals, vol. ![]() " Volatility Transmissions between Oil Prices and Emerging Market Sectors: Implications for Portfolio Management and Hedging Strategies," Sercan Demiralay & Hatice Gaye Gencer, 2014.Harvard Institute of Economic Research Working Papersġ977, Harvard - Institute of Economic Research.Ĩ816, National Bureau of Economic Research, Inc. " Market Liquidity as a Sentiment Indicator," Journal of Financial Markets, Elsevier, vol. " Market liquidity as a sentiment indicator," Baker, Malcolm & Stein, Jeremy C., 2004.Journal of Economic Interaction and Coordination, Springer Society for Economic Science with Heterogeneous Interacting Agents, vol. " Artificial stock markets with different maturity levels: simulation of information asymmetry and herd behavior using agent-based and network models," Hazem Krichene & Mhamed-Ali El-Aroui, 2018." Political uncertainty and sentiment: Evidence from the impact of Brexit on financial markets,"Įuropean Economic Review, Elsevier, vol. Hudson, Robert & Urquhart, Andrew & Zhang, Hanxiong, 2020.Review of Financial Economics, John Wiley & Sons, vol. " The role of institutional investors and individual investors in financial markets: Evidence from closed‐end funds," " Investor Sentiment and the Cross-Section of Stock Returns,"ġ0449, National Bureau of Economic Research, Inc. Finally, GARCH model and the co-integration error regression model are used to discuss the fluctuation correlation and VAR (Vector Auto-regression) models are established to analyze the causality between the stock market indices and the investor sentiment index. Furthermore, compare with other prediction methods, the model can indeed improve the overall predicting accuracy. Each trend is trained to obtain the forecasting results in three different time scales, and then to achieve the final predicting results by superimposing the output of each trend. ![]() Secondly, VMD-LSTM (Variational Mode Decomposition and Long Short Term Memory) hybrid neural network model is used to decompose and restructure the investor sentiment index and the Shanghai Security Exchange Composite Index (SSEC) into the short-term, medium-term and long-term trend. Firstly, in terms of the existing methods of establishing the investor sentiment index, the composite investor sentiment index which include six indicators (five objective indicators and a subjective indicator) are obtained. The impact of the investor sentiment on China’s capital market price volatility is concerned under the perspective of the behavioral finance.
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