This paper investigates the explanatory power of investor sentiment on market returns.Using monthly data from 2011 to 2020,it employs trading volume and investor confidence index as indicators of investor sentiment and examines the explanatory power on index returns.The result shows that investor sentiment has a strong explanatory power on stock index returns.Furthermore,it conducts a further analysis by dividing the data into four stages based on market trends,and examines the differences in the explanatory power of investor sentiment on returns in different stages.The results reveal that the explanatory power of trading volume and investor confidence index on returns exhibits certain differences based on the volatility of the stock index.Moreover,the investor confidence index and trading volume,as sentiment indicators,have a certain degree of complementarity.Additionally,the article tests the endogeneity among investor confidence index,trading volume,and returns.It finds that endogeneity issues do not exist in these variables.
关键词
投资者情绪/成交量/投资者信心指数/股指收益率
Key words
investor sentiment/trading volume/investor confidence index/return rate of stock index
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