Understanding the irrational sentiments of the market participants is necessary for making good investment decisions.Despite the recent academic effort to examine the role of investors’sentiments in market dynamics,t...Understanding the irrational sentiments of the market participants is necessary for making good investment decisions.Despite the recent academic effort to examine the role of investors’sentiments in market dynamics,there is a lack of consensus in delineating the structural aspect of market sentiments.This research is an attempt to address this gap.The study explores the role of irrational investors’sentiments in determining stock market volatility.By employing monthly data on market-related implicit indices,we constructed an irrational sentiment index using principal component analysis.This sentiment index was modelled in the GARCH and Granger causality framework to analyse its contribution to volatility.The results showed that irrational sentiment significantly causes excess market volatility.Moreover,the study indicates that the asymmetrical aspects of an inefficient market contribute to excess volatility and returns.The findings are crucial for retail investors as well as portfolio managers seeking to make an optimum portfolio to maximise profits.展开更多
To explain medium-term momentum and long-term reversal,we use the difference between the optional model and the CAPM model to construct a winner-loser portfolio.According to the CAPM model’s zero explanatory ability ...To explain medium-term momentum and long-term reversal,we use the difference between the optional model and the CAPM model to construct a winner-loser portfolio.According to the CAPM model’s zero explanatory ability with respect to stock market anomalies,we obtain an anomaly interpretative model.This study shows that this anomaly interpretative model can explain stock market perceptions and medium-term momentum.Most importantly,BM is a critical factor in the model’s explanatory ability.We present a robustness test,which includes selecting new sample data,adding new auxiliary variables,changing sample years,and adding industry fixed effects.In general,the BM effect does have considerable explanatory power in medium-term momentum and long-term reversal.展开更多
文摘Understanding the irrational sentiments of the market participants is necessary for making good investment decisions.Despite the recent academic effort to examine the role of investors’sentiments in market dynamics,there is a lack of consensus in delineating the structural aspect of market sentiments.This research is an attempt to address this gap.The study explores the role of irrational investors’sentiments in determining stock market volatility.By employing monthly data on market-related implicit indices,we constructed an irrational sentiment index using principal component analysis.This sentiment index was modelled in the GARCH and Granger causality framework to analyse its contribution to volatility.The results showed that irrational sentiment significantly causes excess market volatility.Moreover,the study indicates that the asymmetrical aspects of an inefficient market contribute to excess volatility and returns.The findings are crucial for retail investors as well as portfolio managers seeking to make an optimum portfolio to maximise profits.
基金I follow the tutor to do two fund projects which is the National Social Science Fund Project(15BJY164)the Ministry of Education Humanities and Social Sciences Fund Project(14YJA790034),respectively.
文摘To explain medium-term momentum and long-term reversal,we use the difference between the optional model and the CAPM model to construct a winner-loser portfolio.According to the CAPM model’s zero explanatory ability with respect to stock market anomalies,we obtain an anomaly interpretative model.This study shows that this anomaly interpretative model can explain stock market perceptions and medium-term momentum.Most importantly,BM is a critical factor in the model’s explanatory ability.We present a robustness test,which includes selecting new sample data,adding new auxiliary variables,changing sample years,and adding industry fixed effects.In general,the BM effect does have considerable explanatory power in medium-term momentum and long-term reversal.
