Investor sentiment at the initial stage of public emergency : Evidence from Shanghai stock market

Abstract

The paper collects the daily data from January 20th, 2020 to September 30th, 2020 and refers to the BW index model of Baker and Wurgler (2006) to construct the investor sentiment index of Shanghai stock market at the initial stage of COVID-19. Differ from the previous research, after excluding the influence of macroeconomics, the paper found that the investor sentiment shows a significantly negative relation with the SSE A-share Index.