A Study of Multi-Scale Relationship Between Investor Sentiment and Stock Index Fluctuation Based on the Analysis of BEMD Spillover Index

Weiguo Chen, Shufen Zhou, Yin Zhang, Yi Sun
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引用次数: 3

Abstract

Abstract According to behavioral finance theory, investor sentiment generally exists in investors’ trading activities and influences financial market. In order to investigate the interaction between investor sentiment and stock market as well as financial industry, this study decomposed investor sentiment, stock price index and SWS index of financial industry into IMF components at different scales by using BEMD algorithm. Moreover, the fluctuation characteristics of time series at different time scales were extracted, and the IMF components were reconstructed into short-term high-frequency components, medium-term important event low-frequency components and long-term trend components. The short-term interaction between investor sentiment and Shanghai Composite Index, Shenzhen Component Index and financial industries represented by SWS index was investigated based on the spillover index. The time difference correlation coefficient was employed to determine the medium-term and long-term correlation among variables. Results demonstrate that investor sentiment has a strong correlation with Shanghai Composite Index, Shenzhen Component Index and different financial industries represented by SWS index at the original scale, and the change of investor sentiment is mainly influenced by external market information. The interaction between most markets at the short-term scale is weaker than that at the original scale. Investor sentiment is more significantly correlated with SWS Bond, SWS Diversified Finance and Shanghai Composite Index at the long-term scale than that at the medium-term scale.
基于BEMD溢出指数分析的投资者情绪与股指波动的多尺度关系研究
行为金融理论认为,投资者情绪普遍存在于投资者的交易活动中,并对金融市场产生影响。为了研究投资者情绪与股票市场、金融行业之间的相互作用,本研究采用BEMD算法将投资者情绪、股票价格指数、金融行业SWS指数在不同尺度上分解为IMF分量。提取时间序列在不同时间尺度上的波动特征,将IMF分量重构为短期高频分量、中期重要事件低频分量和长期趋势分量。基于溢出指数,研究投资者情绪与上证综合指数、深成指以及以SWS指数为代表的金融行业之间的短期互动关系。采用时差相关系数确定变量间的中长期相关性。结果表明,投资者情绪在原尺度上与上证综指、深成指以及以SWS指数为代表的不同金融行业具有较强的相关性,投资者情绪的变化主要受外部市场信息的影响。大多数市场在短期尺度上的相互作用弱于原始尺度。投资者情绪与SWS债券、SWS多元金融和上证指数在长期尺度上的相关性比中期尺度上的相关性更显著。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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