Extreme Return, Extreme Volatility and Investor Sentiment

doi:10.2298/FIL1615949G

CORC > 数学与系统科学研究院 > 中国科学院数学与系统科学研究院 > 系统科学研究所

	Extreme Return, Extreme Volatility and Investor Sentiment
	Gong, Xu 1,2,3; Wen, Fenghua 1; He, Zhifang 1; Yang, Jia 4; Yang, Xiaoguang5 ; Pan, Bin 6
刊名	FILOMAT
	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
DOI	10.2298/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
出版者	UNIV NIS, FAC SCI MATH
WOS记录号	WOS:000397262300004
内容类型	期刊论文
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.