This study examined the effect of investor sentiment on return in the China stock market for a period of nineteen years from 2000 to 2019. The survey used both granger causality and the OLS regression techniques to analyze the data. Accordingly, the findings from the study have revealed that investor sentiment has a remarkable positive impact on stock market returns by examining Treasury bills, consumer price index, and industrial production index. Also, the study has unfolded that unidirectional causality operates from investor sentiment to stock market returns. Reportedly, the study has established that stockholder sentiments have relatively lower explanatory power to returns on the stock market. Finally, this study posits the presence of dynamic correlation between the action of stock future returns and investor sentiment in China causes an increase in stock prices.
Inhaltsverzeichnis (Table of Contents)
- Abstract
- Introduction
- 1.1 Background to the study
- 1.2 Statement of the Problem
- 1.3 Statement of research questions
- 1.4 Other objectives of the study
- 1.5 Hypotheses
- 1.6 Scope of the Study
- Literature Review
- 2.1 Theoretical framework
- 2.2 Empirical Studies
- 2.3 Gap in Literature
- Research Methodology
- Findings & Analysis
- References
Zielsetzung und Themenschwerpunkte (Objectives and Key Themes)
This study explores the impact of investor sentiment on stock returns in the Chinese stock market over a period of nineteen years, from 2000 to 2019. The study aims to determine the nature and strength of the relationship between investor sentiment and stock market returns, specifically investigating the role of investor sentiment in influencing stock price movements. It utilizes both granger causality and OLS regression techniques to analyze data on Treasury bills, consumer price index, and industrial production index.
- The impact of investor sentiment on stock returns in the Chinese stock market.
- The relationship between investor sentiment and economic indicators such as Treasury bills, consumer price index, and industrial production index.
- The direction of causality between investor sentiment and stock market returns.
- The explanatory power of investor sentiment in predicting stock market returns.
- The presence of dynamic correlation between stock future returns and investor sentiment.
Zusammenfassung der Kapitel (Chapter Summaries)
The Abstract provides a concise overview of the study, outlining the research question, methodology, and key findings. It highlights the significant positive impact of investor sentiment on stock market returns in China and the unidirectional causality from sentiment to returns.
The Introduction section delves into the background of the study, defining investor sentiment and its significance in financial markets. It presents the problem statement, research questions, objectives, and hypotheses. This section also discusses the importance of understanding investor sentiment in relation to stock market returns, particularly in light of the inherent unpredictability of financial markets.
The Literature Review chapter explores existing theoretical frameworks and empirical studies related to investor sentiment and stock market returns. This section provides a critical analysis of the literature, identifying the gaps in current knowledge that the study aims to address.
Schlüsselwörter (Keywords)
Key terms and concepts in the study include investor sentiment, stock return, consumer price index, granger causality, OLS regression, Treasury bills, industrial production index, and the Chinese stock market.
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- Doctor Clement Bill (Autor:in), 2021, China's Stock Market. Impact of Investor's Sentiment on Returns of Stocks, München, GRIN Verlag, https://www.grin.com/document/1312057
