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Extreme Return, Extreme Volatility and Investor Sentiment

文献类型：期刊论文

作者Gong, Xu1,2,3; Wen, Fenghua1; He, Zhifang1; Yang, Jia4; Yang, Xiaoguang5; Pan, Bin6
刊名FILOMAT
出版日期2016
卷号30期号:15页码:3949-3961
关键词Extreme return Extreme volatility Investor sentiment Quantile regression
ISSN号0354-5180
DOI10.2298/FIL1615949G
英文摘要The extreme return and extreme volatility have great influences on the investor sentiment in stock market. However, few researchers have taken the phenomenon into consideration. In this paper, we first distinguish the extreme situations from non-extreme situations. Then we use the ordinary generalized least squares and quantile regression methods to estimate a linear regression model by applying the standardized AAII, the return and volatility of SP 500. The results indicate that, except for extremely negative return, other return sequences can cause great changes in investor sentiment, and non-extreme return plays a leading role in affecting the overall American investor sentiment. Extremely positive (negative) return can rapidly improve (further reduce) the level of investor sentiment when investors encounter extremely pessimistic situations. The impact gradually decreases with improvement of the sentiment until the situation turns optimistic. In addition, we find that extreme and non-extreme volatility cannot affect the overall investor sentiment.
资助项目National Natural Science Foundation of China[71371195] ; National Natural Science Foundation of China[71431008] ; Major Program of National Social Science Foundation of China[14ZDA045] ; Fundamental Research Funds for the Central Universities of Central South University[2014zzts006] ; Fundamental Research Funds for the Central Universities of Central South University[2015zzts006]
WOS研究方向Mathematics
语种英语
WOS记录号WOS:000397262300004
出版者UNIV NIS, FAC SCI MATH
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/24867]  
专题系统科学研究所
通讯作者Wen, Fenghua
作者单位1.Cent S Univ, Business Sch, Changsha 410081, Hunan, Peoples R China
2.Xiamen Univ, China Inst Studies Energy Policy, Collaborat Innovat Ctr Energy Econ & Energy Polic, Xiamen 361005, Peoples R China
3.Xiamen Univ, Sch Econ, Xiamen 361005, Peoples R China
4.Changsha Univ Sci & Technol, Sch Econ & Management, Changsha 410114, Hunan, Peoples R China
5.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China
6.Wenzhou Univ, Financial Res Inst, Wenzhou 325035, Zhejiang, Peoples R China
推荐引用方式
GB/T 7714		 Gong, Xu,Wen, Fenghua,He, Zhifang,et al. Extreme Return, Extreme Volatility and Investor Sentiment[J]. FILOMAT,2016,30(15):3949-3961.
APA Gong, Xu,Wen, Fenghua,He, Zhifang,Yang, Jia,Yang, Xiaoguang,&Pan, Bin.(2016).Extreme Return, Extreme Volatility and Investor Sentiment.FILOMAT,30(15),3949-3961.
MLA Gong, Xu,et al."Extreme Return, Extreme Volatility and Investor Sentiment".FILOMAT 30.15(2016):3949-3961.

入库方式： OAI收割

来源：数学与系统科学研究院

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