2015 7 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 2013 1 1 2014 6 1 A IPO RIPO IPO NIPO TURN A NIA A SENT SENT A A F830. 9 A 1000-1549 2015 07-0042 - 08 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 1 2013 to June 1 2014 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 42 2015-04 - 01 1976 2 1987 9 14BJY197 13JGB036
2015 7 investor sentiment theory 1 2014 6 1964 Ⅱ IPO 130 Solt Statman 3 Clarke Statman 4 1964 Ⅱ S&P500 1987 7 6 AAII Fisher Statman 5 HADADY 2-3 3 Solt Statman 3 S&P500 1963 1985 Sander 6 4 A AAII S&P500 BSI SENT 7 43
2015 7 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 13 1 1 1 / 1 AAII IPO RIPO IPO TURN 1 Baker Wurgler 20 1 44 CEFD = NAV - Price /NAV Price
2015 7 Baker Wurgler Malcolm Baker 21 4 NIA ym NIPO ym y m 6 4 RIPO ym TURN ym SENT 1. SENT A 1. 2. 3. 2003 2014 2003 IPO 4 IPO IPO TURN ym A RIPO ym A NIA ym A 4 Shiller 2005 45
2015 7 SPSS A 2003 1 1 2014 6 1 2 4 2 NIPO ym A IPO NIPO 0 IPO IPO RIPO IPO IPO IPO IPO A 2. CPI 2003 2014 2 N NIPO 138 0. 00 79. 790 8. 73 15. 78 TURN 138 3. 59 35. 381 14. 47 7. 15 NIA 138 2. 59 27. 878 41. 92 48. 42 RIPO 138-0. 23 2. 210 0. 34 0. 45 138 94. 00 104. 000 100. 33 2. 36 CPI 138 98. 20 108. 700 102. 90 2. 20 N 138 - - - - SENT 4 4 4 3 2003 1 1 2014 6 75% 1 A 3 RIPO ym TURN ym NIPO ym % % % % NIA ym 1 2. 032 50. 798 50. 798 2. 032 50. 798 50. 798 2 LOG 10 46 10 2 1. 049 26. 215 77. 013 1. 049 26. 215 77. 013 3 0. 745 18. 621 95. 634 - - - 4 0. 175 4. 366 100. 000 - - -
2015 7 4 4 1 2 ZNIPO ym 0. 668 0. 156 ZTURN ym 0. 802-0. 407 ZNIA ym 0. 942 0. 005 ZRIPO ym 0. 235 0. 926 1 2003 2014 SENT A 3 4 2 F1 = 0. 47NIPO ym + 0. 56TURN ym + 0. 66NIA ym + 0. 16RIPO ym 1 F2 = 0. 15NIPO ym - 0. 40TURN ym + 0. 005NIA ym + 0. 90RIPO ym 2 A 2 2003 2014 SENT A SENT ym = 0. 36NIPO ym + 0. 24TURN ym + 0. 44NIA ym + 0. 42RIPO ym 3 SENT 2007 11 2008 10 SENT A A 265% SENT SENT A 2008 7 1 SENT A 2008 SENT 11 2009 8 A 2 2003 2014 2009 9 SENT A A SENT A SENT SENT A 2004 2 2005 4 2007 4 2012 A 12 11 2003 2014 11 3 2 2005 7 2007 10 A 6 430 514% SENT 2007 9 47
2015 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 - 2. 578 074 3 2003 2014 RIPO A * MacKinnon 1996 p 4 SENT RIPO A RIPO SENT RIPO IPO T Prob. * ADF - 4. 268 840 0. 000 7 1% level - 3. 478 547 6 5% level - 2. 882 590 T Prob. * ADF - 2. 044 959 0. 267 5 1% level - 3. 478 911 5% level - 2. 882 748 10% level - 2. 578 158 RIPO * MacKinnon 1996 p 7 T Prob. * ADF - 7. 110 715 0. 000 0 1% level - 3. 478 911 * MacKinnon 1996 p 5% level - 2. 882 748 10% level - 2. 578 158 Sent Index 8 48 4 2003 2014 8 IN- Sent Index Index Sent F Prob. Sent 136 12. 561 7 0. 000 01 Index 4. 047 74 0. 019 70 2
2015 7 8 INDEX SENT IN- DEX 12. 561 7 99. 999% SENT INDEX SENT RIPO 0. 999 9 SENT A INDEX SENT IN- DEX SENT 4. 047 74 98. 03% 0. 980 3 INDEX SENT A SENT RIPO SENT INDEX INDEX SENT INDEX SENT SENT SENT CAPM 22 β 1. M. 2010. 2. CICSI J. 2009 11 174-184. 3 Michael E. Solt Meir Statman. How Useful Is the Sentiment Index J. Financial Analysts Journal 1988 44 44-55. 4 Roger G. Clarke Meir Statman. Bullish or Bearish J. Financial Analysts Journal 1998 54 63-72. 5 Fisher Kenneth L. Statman. Investor Sentiment and Stock Return J. Finance Analysts Journal 2000 56 2 16-23. 6 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 1997. 7. M. 2003. 8. J. 2004 10 75-83. 9. J. 2005 11 86-93. 10 C. Lee A. Shleifer R. H. Thaler. Investor Sentiment and the Closed-end Fund Puzzle J. The Journal of Finance. 1991 56 1 75-109. 11 R. Neal S. M. Wheatley. Do Measures of Investor Sentiment Predict Returns 12 523-547. J. Journal of Financial and Quantitative Analysis 1998 33 12 Byoung-Hyoun Hwang. Country-specific Sentiment and Security Prices J. Journal of Finance Economics 2011 100 5 382-401. 13 Lily Qiu Ivo Welch. Investor Sentiment Measures C /L. NBER Working Paper 2004 1094 http / /www. nber. org /papers /w10794. pdf. 14 Kenneth L. Fisher Meir Statman. 115-127. Consumer Confidence and Stock Returns J. The Journal of Portfolio Management 2003 30 1 15 Maria Ward Otoo. Consumer Sentiment in the Stock Market C /L. htttp / /core. ac. uk /download /pdf /6893502. pdf 1999. 16 Malcolm Baker Jeremy C. Stein. Market liquidity as a Sentiment Indicator J. Journal of Finance Markets 2004 7 271-299. 17 Alexander Ljungqvist Vikram Nanda Rajdeep Singh. Hot Market Investor Sentiment and IPO Pricing J. The Journal of Business 2006 79 4 1667-1702. 18. IPOs J. 2007 3 51-61. 19. J. 2008 7 22-28. 20 Baker M. Wurgler J. Investor Sentiment and the Cross - section of Stock Returns J. Journal of Finance. 2006 61 1645-1680. 21 Malcolm Baker Jeffrey Wurgler Yu Yuan 2012. Global Local and Contagious Investor Sentiment J. Journal of Financial Economics 2012 104 2 272-287. 22. J. 2014 29 3 89-97. 49