Dissertation > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods

A study of investor sentiment index to predict the stock opened at

Author ZhongLei
Tutor YangChunPeng
School Qingdao University
Course Finance
Keywords investor sentiment index predict opening
CLC F224
Type Master's thesis
Year 2011
Downloads 62
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This article aims to analyze the relationship between investor sentiment index and the stock market opening, First, we review the existing research results about the investor sentiment proxies, and select indexes which affect the stock market opening through correlation analysis. We use data of five external market indicators and five domestic market indicators to construct a comprehensive daily sentiment index through principal component analysis way. Then we use regression analysis to test whether the stock market investor sentiment index can predict the next day’s opening price. The results show:changes in investor sentiment index significantly affect the next day’s opening price in stock market, high investor sentiment generally make a higher opening price next day, while the sentiment index fell, it usually indicates a lower opening next day; Investor sentiment index predicting the opening price in the stock market is different from its predicting the opening price in futures stock. Such differences may stem from investors with different structure in these two markets; When the stock market shocks strongly in the large range, the investor sentiment index predicting the opening price is relatively strong, and when the stock market step into a narrow trading range, its predictive effect is relatively weak; The capital market is constantly changing, which leads the investor sentiment index to have a strong timeliness.

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