Investor sentiment data for China

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.

本数据集为Cheema、Man与Szulczyk在论文《Does Investor Sentiment Predict the Near-term Returns of the Chinese Stock Market?》（载于《International Review of Finance》，2018年待刊，DOI: 10.1111/irfi.12202）中使用并阐述的月度数据。
该研究发现：中国股票市场的整体收益无法通过投资者情绪指数（investor sentiment index）进行解释，但研究提示该指数可用于阐释股票市场异象等相关问题。
另有研究表明，在高情绪周期而非低情绪周期中，负向MAX效应（negative MAX effect）会表现得更为显著，该研究为Cheema Muhammad A.、Nartea Gilbert与Man Yime所著的《Maxing Out in China: Optimism or Attention?》，发表于《International Review of Finance》，2018年待刊。