The Nonlinear Relationship between Investor Sentiment, Stock Return, and Volatility
Based on the DSSW model, we analyze the nonlinear impact mechanism of investor sentiment on stock return and volatility by adjusting its hypothesis in Chinese stock market. We examine the relationship between investor sentiment, stock return, and volatility by applying OLS regression and quantile re...
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| Format: | Article |
| Language: | English |
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Wiley
2020-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2020/5454625 |
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| _version_ | 1849309014673850368 |
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| author | Gang He Shuzhen Zhu Haifeng Gu |
| author_facet | Gang He Shuzhen Zhu Haifeng Gu |
| author_sort | Gang He |
| collection | DOAJ |
| description | Based on the DSSW model, we analyze the nonlinear impact mechanism of investor sentiment on stock return and volatility by adjusting its hypothesis in Chinese stock market. We examine the relationship between investor sentiment, stock return, and volatility by applying OLS regression and quantile regression. Our empirical results show that the effects of investor sentiment on stock market return are asymmetric. There is “Freedman effect” in Chinese stock market, but only optimistic sentiment has a significant nonlinear impact on stock market returns when the stock market is a balanced market or a bear market. Meanwhile, “create the space effect” does exist in Chinese stock market too. It only exists when the market is in equilibrium, and only pessimistic sentiment has the nonlinear effect on stock market volatility. |
| format | Article |
| id | doaj-art-05bdf32d5ecf4b878a6d113bd30a5a2f |
| institution | Kabale University |
| issn | 1026-0226 1607-887X |
| language | English |
| publishDate | 2020-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Discrete Dynamics in Nature and Society |
| spelling | doaj-art-05bdf32d5ecf4b878a6d113bd30a5a2f2025-08-20T03:54:16ZengWileyDiscrete Dynamics in Nature and Society1026-02261607-887X2020-01-01202010.1155/2020/54546255454625The Nonlinear Relationship between Investor Sentiment, Stock Return, and VolatilityGang He0Shuzhen Zhu1Haifeng Gu2Shanghai LiXin University of Accounting and Finance, Shanghai 201209, ChinaGlorious Sun School of Business and Management, Donghua University, Shanghai 20051, ChinaGlorious Sun School of Business and Management, Donghua University, Shanghai 20051, ChinaBased on the DSSW model, we analyze the nonlinear impact mechanism of investor sentiment on stock return and volatility by adjusting its hypothesis in Chinese stock market. We examine the relationship between investor sentiment, stock return, and volatility by applying OLS regression and quantile regression. Our empirical results show that the effects of investor sentiment on stock market return are asymmetric. There is “Freedman effect” in Chinese stock market, but only optimistic sentiment has a significant nonlinear impact on stock market returns when the stock market is a balanced market or a bear market. Meanwhile, “create the space effect” does exist in Chinese stock market too. It only exists when the market is in equilibrium, and only pessimistic sentiment has the nonlinear effect on stock market volatility.http://dx.doi.org/10.1155/2020/5454625 |
| spellingShingle | Gang He Shuzhen Zhu Haifeng Gu The Nonlinear Relationship between Investor Sentiment, Stock Return, and Volatility Discrete Dynamics in Nature and Society |
| title | The Nonlinear Relationship between Investor Sentiment, Stock Return, and Volatility |
| title_full | The Nonlinear Relationship between Investor Sentiment, Stock Return, and Volatility |
| title_fullStr | The Nonlinear Relationship between Investor Sentiment, Stock Return, and Volatility |
| title_full_unstemmed | The Nonlinear Relationship between Investor Sentiment, Stock Return, and Volatility |
| title_short | The Nonlinear Relationship between Investor Sentiment, Stock Return, and Volatility |
| title_sort | nonlinear relationship between investor sentiment stock return and volatility |
| url | http://dx.doi.org/10.1155/2020/5454625 |
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