Investor sentiment data for China

Published: 9 June 2018| Version 2 | DOI: 10.17632/tzzfcstt9t.2
Contributor:
Muhammad Cheema

Description

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.

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Finance, China

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