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Analysis of the relationship between the sentiment of retail investors and the performance of the chinese stock market
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Resumo(s)
Ao contrário dos mercados de ações em países desenvolvidos, os mercados de ações chineses são principalmente composto por investidores de varejo. O comportamento do investimento no varejo é suscetível a emoções, que pode afetar o desempenho dos mercados de ações. Ao estudar a relação entre o dois tipos de mercados de ações, os investidores de varejo podem aumentar sua consciência do risco e investimento racional e a regulamentação dos mercados de capitais chineses também podem ser desenvolvidos de forma mais científica e saudável. Neste artigo, o método de computação afetiva é usado para quantificar o sentimento dos investidores de varejo registrados na Bolsa de Valores de Xangai. Então, a série temporal de sentimento de varejo, o preço de fechamento dos Valores de Xangai Índice Composto e o volume total de negociação da Bolsa de Valores de Xangai são
organizado para análise e avaliado por meio de três métodos de análise, o modelo VAR, Correlação de Pearson e TLCC. As conclusões tiradas deste estudo são as seguintes: (i)
Não há relação causal entre o sentimento dos investidores de varejo e o fechamento preço do Shanghai Securities Composite Index. (ii) Existe uma relação causal entre o sentimento do investidor de varejo e o volume total de negociação das Ações de Xangai Troca. (Iii) Há uma influência de defasagem mútua e forte correlação entre o sentimento dos investidores de varejo e a taxa de mudança do Shanghai Securities Composite Índice.
Unlike stock markets in developed countries, Chinese stock markets are mainly composed of retail investors. Retail investment behavior is susceptible to emotions, which can affect the performance of stock markets. By studying the relationship between the two types of stock markets, retail investors can increase their awareness of risk and rational investment, and the regulation of Chinese capital markets can also be developed more scientifically and healthily. In this paper, the affective computing method is used to quantify the sentiment of retail investors registered on the Shanghai Stock Exchange. Then, the retail sentiment time series, the closing price of the Shanghai Securities Composite Index, and the total trading volume of the Shanghai Stock Exchange are organized for analysis and assessed through three analysis methods, the VAR model, Pearson correlation, and TLCC. The conclusions drawn from this study are as follows: (i) There is no causal relationship between the sentiment of retail investors and the closing price of the Shanghai Securities Composite Index. (ii) There is a causal relationship between retail investor sentiment and the total trading volume of the Shanghai Stock Exchange. (iii) There is a mutual lag influence and strong correlation between the sentiment of retail investors and the changing rate of the Shanghai Securities Composite Index.
Unlike stock markets in developed countries, Chinese stock markets are mainly composed of retail investors. Retail investment behavior is susceptible to emotions, which can affect the performance of stock markets. By studying the relationship between the two types of stock markets, retail investors can increase their awareness of risk and rational investment, and the regulation of Chinese capital markets can also be developed more scientifically and healthily. In this paper, the affective computing method is used to quantify the sentiment of retail investors registered on the Shanghai Stock Exchange. Then, the retail sentiment time series, the closing price of the Shanghai Securities Composite Index, and the total trading volume of the Shanghai Stock Exchange are organized for analysis and assessed through three analysis methods, the VAR model, Pearson correlation, and TLCC. The conclusions drawn from this study are as follows: (i) There is no causal relationship between the sentiment of retail investors and the closing price of the Shanghai Securities Composite Index. (ii) There is a causal relationship between retail investor sentiment and the total trading volume of the Shanghai Stock Exchange. (iii) There is a mutual lag influence and strong correlation between the sentiment of retail investors and the changing rate of the Shanghai Securities Composite Index.
Descrição
Mestrado em Finanças
Palavras-chave
Finanças comportamentais Rastejante Computação Afetiva Sentimento Método do Dicionário Correlação de Pearson TLCC VAR Shanghai Securities Composite Índice Behavioral Finance Crawler Affective Computing Sentiment Dictionary Method Pearson Correlation Shanghai Securities Composite Index
Contexto Educativo
Citação
Yongzhe, Zhao (2020). "Analysis of the relationship between the sentiment of retail investors and the performance of the chinese stock market". Dissertação de Mestrado. Universidade de Lisboa. Instituto Superior de Economia e Gestão.
Editora
Instituto Superior de Economia e Gestão