House price monthly return and monthly investor sentiment component and composit data
Description
The house price data are collected from the official website of China's National Bureau of Statistics . We acquired the month-on-month growth data of the house price since January 2006, then compiled the house price index based on January 2006 as 100. We then calculate the monthly house price return as Hourett = (ln(Houidxt) - ln(Houidxt-1))×100, where Houidxt is the monthly house price index. The investor sentiment data is constructed by using the method proposed by Baker and Wurgler (2006), Zhu and Niu (2016), Dash and Maitra (2018), we form our composite sentiment index based on six individual sentiment proxies: the closed-end fund discount (Dcef ), the average first-day returns on IPO (RIpo), the ratio of the number of advancing stocks to the number of declining stocks (Adrt), new A-share market accounts (NA), the market turnover rate (Turn) and consumer confidence index (CCI). Then, we orthogonalize these measures on macroeconomic variables including the industrial added value, the macroeconomic climate index, the consumer price index and the money supply M1 to eliminate the effect of macro economy. The first principal component of these six residual-series from the regressions is taken as our final composite investor sentiment index (ISidx). 157 observations from January 2006 to February 2019 are obtained.