Relationship Between Individual Investor Sentiment with Its Volatility and Returns of Small-Cap Stocks PDF Download

Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Relationship Between Individual Investor Sentiment with Its Volatility and Returns of Small-Cap Stocks PDF full book. Access full book title Relationship Between Individual Investor Sentiment with Its Volatility and Returns of Small-Cap Stocks by Qin Yong. Download full books in PDF and EPUB format.

Relationship Between Individual Investor Sentiment with Its Volatility and Returns of Small-Cap Stocks

Relationship Between Individual Investor Sentiment with Its Volatility and Returns of Small-Cap Stocks PDF Author: Qin Yong
Publisher:
ISBN:
Category :
Languages : en
Pages : 12

Get Book Here

Book Description
Due to the irrational behavior of individual investors have a significant impact on the stock market, and Chinese stock market with inexperienced individual investors as the main body, our individual investor sentiment may play a more important role than in Western countries in the stock trading process. Therefore, this paper use ARMA-GARCH model to examine the relationship between the investor sentiment along its volatility and the small-cap stocks, which are individually described by newly opened stock trading accounts and the CSI 500. The results show that: The individual investor behavior exhibits a short-term ARCH effects and small-cap stocks exhibit short-term gain inertia; the high number of newly opened stock trading accounts responses to high small-cap stocks yields and display a "spillover effect" to market return; using newly opened stock trading accounts as individual investor sentiment index has great explanatory power to small-cap stocks in China.