Investor Sentiment and Stock Price Crash Risk in the Chinese Stock Market
This paper uses the partial least squares method to construct the investor sentiment index in Chinese stock market. The Shanghai Stock Exchange 180 Index and the Shenzhen Stock Exchange 100 Index are used as samples. From the perspectives of holistic sentiment and heterogeneous sentiment, this paper...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2021-01-01
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| Series: | Journal of Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2021/6806304 |
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| _version_ | 1850120604970123264 |
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| author | Binghui Wu Yuanman Cai Mengjiao Zhang |
| author_facet | Binghui Wu Yuanman Cai Mengjiao Zhang |
| author_sort | Binghui Wu |
| collection | DOAJ |
| description | This paper uses the partial least squares method to construct the investor sentiment index in Chinese stock market. The Shanghai Stock Exchange 180 Index and the Shenzhen Stock Exchange 100 Index are used as samples. From the perspectives of holistic sentiment and heterogeneous sentiment, this paper studies the impact of investor sentiment on stock price crash risk. The results show that investor sentiment can significantly affect stock price crash risk in Shanghai and Shenzhen A-share markets, especially in the Shenzhen A-share market no matter from which perspective. And investor pessimism has a greater impact on stock price crash risk in the Shenzhen A-share market from the perspective of heterogeneous sentiment. Compared with the available researches, this paper makes two contributions: (i) the comparative analysis is adopted to discuss the differences between Shanghai and Shenzhen A-share markets, abandoning the research approach that takes the two markets as a whole in existing literature, and (ii) this paper not only studies the impact of investor holistic sentiment on stock price crash risk from a macro perspective, but also adds a more micro heterogeneous sentiment and conducts a comparative analysis. |
| format | Article |
| id | doaj-art-607c7d7bab624ee684ba58740d844c53 |
| institution | OA Journals |
| issn | 2314-4785 |
| language | English |
| publishDate | 2021-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Journal of Mathematics |
| spelling | doaj-art-607c7d7bab624ee684ba58740d844c532025-08-20T02:35:19ZengWileyJournal of Mathematics2314-47852021-01-01202110.1155/2021/6806304Investor Sentiment and Stock Price Crash Risk in the Chinese Stock MarketBinghui Wu0Yuanman Cai1Mengjiao Zhang2International Business SchoolInternational Business SchoolInternational Business SchoolThis paper uses the partial least squares method to construct the investor sentiment index in Chinese stock market. The Shanghai Stock Exchange 180 Index and the Shenzhen Stock Exchange 100 Index are used as samples. From the perspectives of holistic sentiment and heterogeneous sentiment, this paper studies the impact of investor sentiment on stock price crash risk. The results show that investor sentiment can significantly affect stock price crash risk in Shanghai and Shenzhen A-share markets, especially in the Shenzhen A-share market no matter from which perspective. And investor pessimism has a greater impact on stock price crash risk in the Shenzhen A-share market from the perspective of heterogeneous sentiment. Compared with the available researches, this paper makes two contributions: (i) the comparative analysis is adopted to discuss the differences between Shanghai and Shenzhen A-share markets, abandoning the research approach that takes the two markets as a whole in existing literature, and (ii) this paper not only studies the impact of investor holistic sentiment on stock price crash risk from a macro perspective, but also adds a more micro heterogeneous sentiment and conducts a comparative analysis.http://dx.doi.org/10.1155/2021/6806304 |
| spellingShingle | Binghui Wu Yuanman Cai Mengjiao Zhang Investor Sentiment and Stock Price Crash Risk in the Chinese Stock Market Journal of Mathematics |
| title | Investor Sentiment and Stock Price Crash Risk in the Chinese Stock Market |
| title_full | Investor Sentiment and Stock Price Crash Risk in the Chinese Stock Market |
| title_fullStr | Investor Sentiment and Stock Price Crash Risk in the Chinese Stock Market |
| title_full_unstemmed | Investor Sentiment and Stock Price Crash Risk in the Chinese Stock Market |
| title_short | Investor Sentiment and Stock Price Crash Risk in the Chinese Stock Market |
| title_sort | investor sentiment and stock price crash risk in the chinese stock market |
| url | http://dx.doi.org/10.1155/2021/6806304 |
| work_keys_str_mv | AT binghuiwu investorsentimentandstockpricecrashriskinthechinesestockmarket AT yuanmancai investorsentimentandstockpricecrashriskinthechinesestockmarket AT mengjiaozhang investorsentimentandstockpricecrashriskinthechinesestockmarket |