Investor sentiment data for China
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http://doi.org/10.17632/tzzfcstt9t.2
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资源简介：
Monthly data used and described in Cheema, Man and Szulczyk, “Does Investor Sentiment Predict the Near-term Returns of the Chinese Stock Market?" International Review of Finance, forthcoming, 2018. DOI: 10.1111/irfi.12202.
Suggestions: We find that investor sentiment index does not explain aggregate stock market returns in China. However, we suggest that it can be used to explain stock market anomalies, etc.
The following paper finds that negative MAX effect is stronger following high but not low sentiment periods: Cheema Muhammad A., Nartea Gilbert and Man Yime, "Maxing Out in China: Optimism or Attention? International Review of Finance, forthcoming, 2018.
本研究采用Cheema, Man与Szulczyk所使用并描述的月度数据，探讨投资者情绪指数是否能够解释中国股市的总体回报。研究发现，投资者情绪指数无法阐释中国股市的整体回报。然而，我们认为该指数可用于解释股市异常现象等。后续研究中，Cheema Muhammad A., Nartea Gilbert与Man Yime指出，在情绪高涨而非低落时期，负面MAX效应更为显著。
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Mendeley Data
