Based on the text of posing on the network forum, the authors establish a set of keyword dictionary to measure the long and short investors＇ sentiment effectively, then they investigate the mutual relations between i...Based on the text of posing on the network forum, the authors establish a set of keyword dictionary to measure the long and short investors＇ sentiment effectively, then they investigate the mutual relations between investor sentiment and the trading market through a Multivariable BEKK-GARCH model of abnormal long and short investor sentiment, returns, and abnormal trading volume. The results show that abnormal sentiment of long investor has a negative impact on the returns and a positive impact on the abnormal trading volume; while abnormal sentiment of short investor has no impact on the return and a negative impact on the abnormal trading volume. Otherwise, there is the negative volatility effect from abnormal sentiment of long investor to returns and abnormal trading volume, the positive volatility effects from abnormal sentiment of short investor to returns, and no volatility effects from abnormal sentiment of short investor to abnormal trading volume. In addition, network forum investor sentiment is a factor affecting the trading market. The analysis of forum information plays a certain role in presenting market risk and improving efficiency in making investment decision.展开更多
In some countries, there exists a risk of power deficit in the EPS （electrical power system）. This is a very serious problem and there are various solutions to deal with it. A power deficit in the EPS leads to frequ...In some countries, there exists a risk of power deficit in the EPS （electrical power system）. This is a very serious problem and there are various solutions to deal with it. A power deficit in the EPS leads to frequency decrease in the power system. A dedicated automation to load shedding is used to maintain proper EPS operation. For some time, it has applied a mechanism called demand-side response, which in case of an emergency situation allows for a ＂more civilized＂ rationing of electricity to customers, with their consent. Such programs require that the utilities pay the customers for their agreement. The author proposes a new solution, intermediate between strict ALS （acting relieving automation） and demand-side response programs, where the companies have to send information about the price of energy or control signals to households.展开更多
This paper examines the proxy variables of investor sentiment in Chinese stock market carefully, and tries to construct an investor sentiment index indirectly. We use cross correlation analysis to examine lead-lag rel...This paper examines the proxy variables of investor sentiment in Chinese stock market carefully, and tries to construct an investor sentiment index indirectly. We use cross correlation analysis to examine lead-lag relationship between the proxy variables and HS300 index. The results show that net added accounts （NAA）, SSE share turnover （TURN）, and closed-end fund discount （CEFD） are leading variables to stock market. The average first day return of IPOs （RIPO） and relative degree of active trading in equity market （RDAT） are contemporary variables, while number of IPOs （NIPO） is a lagging variable of stock market. Using the sentiment proxy variables with most possible leading order, and forward selection stepwise regression method, the empirical results on monthly stock returns reveal that three leading proxy variables can be used to form a sentiment index. And the out of sample tests prove that this sentiment index has good predictive power of Chinese stock market, and it is robust.展开更多
Using data of newly opened stock trading accounts in China as a proxy of investor sentiment index, the authors employ the time-varying copula-GARCH model with Hansen＇s skewed Student-t innovations to investigate the ...Using data of newly opened stock trading accounts in China as a proxy of investor sentiment index, the authors employ the time-varying copula-GARCH model with Hansen＇s skewed Student-t innovations to investigate the dynamic dependence between investor sentiment and stock returns. The empirical findings show that shifts in investor sentiment are asymptotically positively correlated to stock returns in extreme value situations in both A shares market and B shares market in China, that is to say, stock prices will increase （decrease） more when investors become more bullish （bearish）. Also, results show that the dependence between investor sentiment and stock returns is time-varying, which means that the traditional Pearson＇s correlation based on normal distribution is not enough to describe the relationship between stock market behavior and investor behavior.展开更多
文摘Based on the text of posing on the network forum, the authors establish a set of keyword dictionary to measure the long and short investors＇ sentiment effectively, then they investigate the mutual relations between investor sentiment and the trading market through a Multivariable BEKK-GARCH model of abnormal long and short investor sentiment, returns, and abnormal trading volume. The results show that abnormal sentiment of long investor has a negative impact on the returns and a positive impact on the abnormal trading volume; while abnormal sentiment of short investor has no impact on the return and a negative impact on the abnormal trading volume. Otherwise, there is the negative volatility effect from abnormal sentiment of long investor to returns and abnormal trading volume, the positive volatility effects from abnormal sentiment of short investor to returns, and no volatility effects from abnormal sentiment of short investor to abnormal trading volume. In addition, network forum investor sentiment is a factor affecting the trading market. The analysis of forum information plays a certain role in presenting market risk and improving efficiency in making investment decision.
文摘In some countries, there exists a risk of power deficit in the EPS （electrical power system）. This is a very serious problem and there are various solutions to deal with it. A power deficit in the EPS leads to frequency decrease in the power system. A dedicated automation to load shedding is used to maintain proper EPS operation. For some time, it has applied a mechanism called demand-side response, which in case of an emergency situation allows for a ＂more civilized＂ rationing of electricity to customers, with their consent. Such programs require that the utilities pay the customers for their agreement. The author proposes a new solution, intermediate between strict ALS （acting relieving automation） and demand-side response programs, where the companies have to send information about the price of energy or control signals to households.
基金supported by the National Natural Science Foundation of China under Grant Nos.71003004 and 71373001
文摘This paper examines the proxy variables of investor sentiment in Chinese stock market carefully, and tries to construct an investor sentiment index indirectly. We use cross correlation analysis to examine lead-lag relationship between the proxy variables and HS300 index. The results show that net added accounts （NAA）, SSE share turnover （TURN）, and closed-end fund discount （CEFD） are leading variables to stock market. The average first day return of IPOs （RIPO） and relative degree of active trading in equity market （RDAT） are contemporary variables, while number of IPOs （NIPO） is a lagging variable of stock market. Using the sentiment proxy variables with most possible leading order, and forward selection stepwise regression method, the empirical results on monthly stock returns reveal that three leading proxy variables can be used to form a sentiment index. And the out of sample tests prove that this sentiment index has good predictive power of Chinese stock market, and it is robust.
基金supported by the National Natural Science Foundation of China under Grant No.70821001
文摘Using data of newly opened stock trading accounts in China as a proxy of investor sentiment index, the authors employ the time-varying copula-GARCH model with Hansen＇s skewed Student-t innovations to investigate the dynamic dependence between investor sentiment and stock returns. The empirical findings show that shifts in investor sentiment are asymptotically positively correlated to stock returns in extreme value situations in both A shares market and B shares market in China, that is to say, stock prices will increase （decrease） more when investors become more bullish （bearish）. Also, results show that the dependence between investor sentiment and stock returns is time-varying, which means that the traditional Pearson＇s correlation based on normal distribution is not enough to describe the relationship between stock market behavior and investor behavior.
