主成分法构建投资者情绪指标研究

A Study on Constructing Investor Sentiment Index by Using Main Component Method

对6大类共14个投资者情绪指标进行度量,通过主成分分析方法遴选出适合中国证券市场特征的4类投资者情绪指标,并对各个主成分进行详细描述和解析。由此验证:流动性指标、封闭式基金折价、换手率、中签率都集中反映了投资者情绪的变化。

14 sentiment indexes in 6 categories are measured by the authors, and four types of investor sentiment indexes fitting the characteristics of China＇ s stock market have been chosen by using main component method and detailed description, Explanations are made on different main components. The study proves that liquidity index, closed -end fund discount, turnover rate and allocation rate all reflect the change of investor sentiment.