• 主题
高级搜索  >
历史搜索 清空历史
首页> 外文期刊>The North American journal of economics and finance >Time-varying lead-lag structure between investor sentiment and stock market
【24h】

Time-varying lead-lag structure between investor sentiment and stock market

机译：投资者情绪与股市之间的时变铅滞后结构

获取原文
获取原文并翻译 | 示例
           
页面导航
  • 摘要
  • 著录项
  • 相似文献
  • 相关主题

摘要

This paper uses the thermal path method to study the lead-lag structure of sentiment and the stock market. First, based on principal component analysis, four indicators are selected to construct the sentiment index. Furthermore, the effectiveness of the thermal path method is verified by numerical simulation. Finally, the lead-lag characteristics of the Shanghai Stock Index and the sentiment index are studied via the symmetric thermal optimal path method. The analysis results show that in the short term, investor sentiment has a leading position in the stock market, which may be related to the herd effect and buying the winners behavior. However, over a longer period of time, investor sentiment is affected mainly by fluctuation in the market, which may be related to the existence of cyclical fluctuations in the market and futures arbitrage. In addition, the stock market's leading effect appears mainly from January 2006 to January 2012, with an average lead time of one month.
机译：本文采用了热路径方法研究情绪和股票市场的引导滞后结构。首先，基于主成分分析，选择四个指示器来构建情绪指数。此外，通过数值模拟验证了热路径方法的有效性。最后，通过对称热敏路径法研究了上海股票指数的引导滞后特征和情绪指数。分析结果表明，在短期内，投资者情绪在股票市场上具有领先地位，这可能与畜群效应和购买获奖者行为有关。然而，在更长的一段时间内，投资者情绪主要受到市场波动的影响，这可能与市场上的周期波动的存在和期货套利的存在有关。此外，股市的主要效果主要出现在2006年1月至2012年1月，平均交货时间为一个月。

著录项

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱：kefu@zhangqiaokeyan.com

京公网安备：11010802029741号 ICP备案号：京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有

  • 客服微信

  • 服务号