Abstract
From the point of view of behavior finance, this paper submits the empirical evidence of the correlation between market sentiment and returns of stocks. Considering the realistic situations of China’s stock market, we adopt the historical data of 27 close-end funds from 2006 to 2010. The empirical results show that market sentiment can generate significant influence on the volatility of fund income and the latter also play an important role in the form of the former, which suggest that China Stock Market has not reached weak-form market.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
References
Yeh, Y.H., Lee, T.S.: The interaction and volatility asymmetry of unexpected returns in the greater China stock markets. Global Finance Journal 1, 129–149 (2000)
Torngren, G., Montgomery, H.: Worse than chance? Performance and confidence among professionals and laypeople in the stock market. Journal of Behavioral Finance 3, 148–153 (2000)
Pei, P., Zhang, Y.: The empirical test on cognitive bias of China stock investors. Management World 12, 12–21 (2004)
Fisher Kenneth, L., Statman, M.: Investor sentiment and stock returns. Financial Analysts Journal 2, 16–23 (2000)
Brown, G., Cliff, M.: Investor sentiment and Asset Valuation. Journal of Business 2, 405–439 (2005)
Jiang, Y., Wang, M.: Investor sentiment and the Cross-Section of stock returns. Economy Management 10, 134–140 (2009)
Chi, L., Zhuang, X.: Investor Sentiment in Chinese Stock Market. Journal of Management Science 3, 79–87 (2010)
Xue, F.: The empirical test on the choice of the investors sentiment in China. World Economic Outlook 14, 14–17 (2005)
Han, L., Wu, Y.: The mystery of investors’ sentiment and Initial public offerings– Suppression or premium price. Management World 3, 51–61 (2007)
Author information
Authors and Affiliations
Corresponding author
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2012 Springer-Verlag GmbH Berlin Heidelberg
About this chapter
Cite this chapter
Jiang, J., Sun, T. (2012). An Empirical Research on the Correlation between Market Sentiment and Returns of Stocks. In: Jin, D., Lin, S. (eds) Advances in Electronic Commerce, Web Application and Communication. Advances in Intelligent and Soft Computing, vol 148. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-28655-1_21
Download citation
DOI: https://doi.org/10.1007/978-3-642-28655-1_21
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-28654-4
Online ISBN: 978-3-642-28655-1
eBook Packages: EngineeringEngineering (R0)