KMS Of Academy of mathematics and systems sciences, CAS
| Extreme Return, Extreme Volatility and Investor Sentiment | |
Gong, Xu1,2,3; Wen, Fenghua1; He, Zhifang1; Yang, Jia4; Yang, Xiaoguang5 ; Pan, Bin6
| |
| 2016 | |
| Source Publication | FILOMAT
 |
| ISSN | 0354-5180 |
| Volume | 30Issue:15Pages:3949-3961 |
| Abstract | 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. |
| Keyword | Extreme return Extreme volatility Investor sentiment Quantile regression |
| DOI | 10.2298/FIL1615949G |
| Language | 英语 |
| Funding Project | 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 Research Area | Mathematics |
| WOS Subject | Mathematics, Applied ; Mathematics |
| WOS ID | WOS:000397262300004 |
| Publisher | UNIV NIS, FAC SCI MATH |
| Citation statistics | |
| Document Type | 期刊论文 |
| Identifier | http://ir.amss.ac.cn/handle/2S8OKBNM/24868 |
| Collection | 系统科学研究所 |
| Corresponding Author | Wen, Fenghua |
| Affiliation | 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 |
| Recommended Citation 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. |
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