The Construction of Investor Sentiment Index for China's Stock Market Based on the Panel Data of Shanghai A Share Companies

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1 SENT A The Construction of Investor Sentiment Index for China's Stock Market Based on the Panel Data of Shanghai A Share Companies MA Ruo-wei ZHANG Na IPO A A A IPO RIPO IPO NIPO TURN A NIA A SENT SENT A A F A Abstract In this paper we selected monthly average IPO first-day gain RIPO IPO volume NIPO the total market capitalization weighted turnover TURN and the number of new accounts of Shanghai A-share NIA from January to June as proxy variables of investor sentiment excluding the following two macroeconomic factors monthly consumer price index and macroeconomic sentiment index. Then we constructed an investor sentiment SENT index of the Shanghai A-share market. The consistency and superiority analysis shows that the investor sentiment index we constructed has better explanatory power then we verify that there is a bidirectional granger causality between investor sentiment index and the monthly index of Shanghai A-share market. Key words Investor sentiment index Stock market index Granger causality BJY197 13JGB036

2 investor sentiment theory Ⅱ IPO 130 Solt Statman 3 Clarke Statman Ⅱ S&P AAII Fisher Statman 5 HADADY Solt Statman 3 S&P Sander 6 4 A AAII S&P500 BSI SENT 7 43

3 BSI Bullish Sentiment Index 8 8 BSI Fisher Statman 14 Maria Ward Otoo 15 9 Baker Stein 16 Ljungqvist 17 IPO Lee 10 IPO 18 Neal Wheatley 11 Clarke Statman 4 Fisher Statman 5 IPO 19 Byoung-Hyoun Hwang 12 Qiu Welch / 1 AAII IPO RIPO IPO TURN 1 Baker Wurgler CEFD = NAV - Price /NAV Price

4 Baker Wurgler Malcolm Baker 21 4 NIA ym NIPO ym y m 6 4 RIPO ym TURN ym SENT 1. SENT A IPO 4 IPO IPO TURN ym A RIPO ym A NIA ym A 4 Shiller

5 SPSS A NIPO ym A IPO NIPO 0 IPO IPO RIPO IPO IPO IPO IPO A 2. CPI N NIPO TURN NIA RIPO CPI N SENT % 1 A 3 RIPO ym TURN ym NIPO ym % % % % NIA ym LOG

6 ZNIPO ym ZTURN ym ZNIA ym ZRIPO ym SENT A F1 = 0. 47NIPO ym TURN ym NIA ym RIPO ym 1 F2 = 0. 15NIPO ym TURN ym NIA ym RIPO ym 2 A SENT A SENT ym = 0. 36NIPO ym TURN ym NIA ym RIPO ym 3 SENT SENT A A 265% SENT SENT A SENT A 2008 SENT A SENT A A SENT A SENT SENT A A A % SENT

7 SENT A SENT IPO RIPO ADF 3 RIPO 1 RIPO SENT DEX SENT 5 6 SENT INDEX SENT INDEX SENT 7 A Index 5 10% level RIPO A * MacKinnon 1996 p 4 SENT RIPO A RIPO SENT RIPO IPO T Prob. * ADF % level % level T Prob. * ADF % level % level % level RIPO * MacKinnon 1996 p 7 T Prob. * ADF % level * MacKinnon 1996 p 5% level % level Sent Index IN- Sent Index Index Sent F Prob. Sent Index

8 INDEX SENT IN- DEX % SENT INDEX SENT RIPO SENT A INDEX SENT IN- DEX SENT % INDEX SENT A SENT RIPO SENT INDEX INDEX SENT INDEX SENT SENT SENT CAPM 22 β 1. M CICSI J Michael E. Solt Meir Statman. How Useful Is the Sentiment Index J. Financial Analysts Journal Roger G. Clarke Meir Statman. Bullish or Bearish J. Financial Analysts Journal Fisher Kenneth L. Statman. Investor Sentiment and Stock Return J. Finance Analysts Journal Dwright R. Sanders Scott H. Irwin Raymond M. Leuthold. Noise Traders Market Sentiment and Futures Price Behavior C. Working Paper Office for Futures and Options Research OFOR at the University of Illinois Urbana - champaign M J J C. Lee A. Shleifer R. H. Thaler. Investor Sentiment and the Closed-end Fund Puzzle J. The Journal of Finance R. Neal S. M. Wheatley. Do Measures of Investor Sentiment Predict Returns J. Journal of Financial and Quantitative Analysis Byoung-Hyoun Hwang. Country-specific Sentiment and Security Prices J. Journal of Finance Economics Lily Qiu Ivo Welch. Investor Sentiment Measures C /L. NBER Working Paper http / /www. nber. org /papers /w pdf. 14 Kenneth L. Fisher Meir Statman Consumer Confidence and Stock Returns J. The Journal of Portfolio Management Maria Ward Otoo. Consumer Sentiment in the Stock Market C /L. htttp / /core. ac. uk /download /pdf / pdf Malcolm Baker Jeremy C. Stein. Market liquidity as a Sentiment Indicator J. Journal of Finance Markets Alexander Ljungqvist Vikram Nanda Rajdeep Singh. Hot Market Investor Sentiment and IPO Pricing J. The Journal of Business IPOs J J Baker M. Wurgler J. Investor Sentiment and the Cross - section of Stock Returns J. Journal of Finance Malcolm Baker Jeffrey Wurgler Yu Yuan Global Local and Contagious Investor Sentiment J. Journal of Financial Economics J

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