Abstract
PurposeThe focus of the current research is to examine whether mixed-frequency investor sentiment affects stock volatility in the China A-shares stock market.Design/methodology/approachMixed-frequency sampling models are employed to find the relationship between stock market volatility and mixed-frequency investor sentiment. Principal analysis and MIDAS-GARCH model are used to calibrate the impact of investor sentiment on the large-horizon components of volatility of Shanghai composite stocks.FindingsThe results show that the volatility in Chinese stock market is positively influenced by B–W investor sentiment index, when the sentiment index encompasses weighted mixed frequencies with different horizons. In particular, the impact of mixed-frequency investor sentiment is most significantly on the large-horizon components of volatility. Moreover, it is demonstrated that mixed-frequency sampling model has better explanatory powers than exogenous regression models when accounting for the relationship between investor sentiment and stock volatility.Practical implicationsGiven the various unique features of Chinese stock market and its importance as the major representative of world emerging markets, the findings of the current paper are of particularly scholarly and practical significance by shedding lights to the applicableness GARCH-MIDAS in the focused frontiers.Originality/valueA more accurate and insightful understanding of volatility has always been one of the core scholarly pursuits since the influential structural time series modeling of Engle (1982) and the seminal work of Engle and Rangel (2008) attempting to accommodate macroeconomic factors into volatility models. However, the studies in this regard are so far relatively scarce with mixed conclusions. The current study fills such gaps with improved MIDAS-GARCH approach and new evidence from Shanghai A-share market.
Reference36 articles.
1. Overnight returns and firm-specific investor sentiment;Journal of Financial and Quantitative Analysis,2018
2. Investor sentiment and the cross-section of stock returns,2006
3. Measuring investor sentiment with mutual fund flows;Journal of Financial Economics,2012
4. Investor sentiment and the near-term stock market;Journal of Empirical Finance,2004
5. Investor sentiment extracted from internet stock message boards and its effect on Chinese stock market;Journal of Management Sciences in China,2018
Cited by
20 articles.
订阅此论文施引文献
订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献