中国股市投资者情绪测度指标的优选研究

doi:10.16381/j.cnki.issn1003-207x.2019.01.003

Abstract

Abstract: There are many indicators to measure investor sentiment in stock market.The method of constructing comprehensive investor sentiment index based on principal component analysis by Baker and Wurgler (2006) is widely used,the indicators used by them are subjective and arbitrary,so it is necessary to optimize these indicators.An open indicator optimization method system called Inverted Pyramid Filter can be constructed.First of all, primary indicators need to be selected,and the indispensable indicators are eliminated.Then,the irrelevant items are eliminated by correlation analysis,and the highly correlated items are eliminated by clustering analysis.Furthmore, the dimension of investor sentiment measurement and the sum of indicators are determined by principal component analysis.Additionally the principal component analysis is used to determine the dimensions of investor sentiment measures and the number of indicators.Finally,the most significant indicators in each dimension is selected by using the coefficient of variation method.The empirical analysis shows that the optimization of sentiment measurement indicators is a dynamic process,and different indicators should be selected to measure investor sentiment in different periods.Inverted Pyramid Filter model is suitable for any period of indicator optimization.The optimized investor sentiment index OISI constructed with the optimized index is compared with the unoptimized index CICSI,the OISI can better explain investor sentiment.This paper provides a method reference for the indicators optimization before the construction of the investor sentiment composite index,and prepares the objective index for the construction of the index,so that the index based on the optimized indicators can also be optimized,so as to better explain the overall investor sentiment in the stock market.Moreover,other research and practice related to investor sentiment can be better done.

Key words: investor sentiment measure indicators, optimization, correlation analysis, cluster analysis, principal component analysis

CLC Number:

F832.51

LIU Xue-wen. Study on the Optimization of Investor Sentiment Measure Indicators in Chinese Stock Market[J]. Chinese Journal of Management Science, 2019, 27(1): 22-33.

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Study on the Optimization of Investor Sentiment Measure Indicators in Chinese Stock Market

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