Chinese institutional investors’ sentiment
Kling, Gerhard and Gao, Lei (2008) Chinese institutional investors’ sentiment. Journal of International Financial Markets, Institutions & Money , 18, (4), 374-387. (doi:10.1016/j.intfin.2007.04.002).
- Author's Original
We use daily survey data on Chinese institutional investors’ forecasts to measure investors' sentiment. Our empirical model uncovers that share prices and investor sentiment do not have a long-run relation; however, in the short-run, the mood of investors follows a positive feedback process. Hence, institutional investors are optimistic when previous market returns were positive. Contrarily, negative returns trigger a decline in sentiment, which reacts more sensitively to negative than positive returns. Investor sentiment does not predict future market movements – but a drop in confidence increases market volatility and destabilizes exchanges. EGARCH models reveal asymmetric responses in the volatility of investor sentiment; however, Granger causality tests reject volatility-spillovers between returns and sentiment.
|Digital Object Identifier (DOI):||doi:10.1016/j.intfin.2007.04.002|
|Subjects:||H Social Sciences > HG Finance|
|Divisions:||University Structure - Pre August 2011 > School of Management
|Date Deposited:||07 Oct 2010 13:28|
|Last Modified:||27 Mar 2014 19:18|
|RDF:||RDF+N-Triples, RDF+N3, RDF+XML, Browse.|
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