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Investor sentiment based on scaled PCA method: A powerful predictor of realized volatility in the Chinese stock market

  • Published:2023-01 Issue: Volume:83 Page:528-545
  • ISSN:1059-0560
  • Container-title:International Review of Economics & Finance
  • language:en
  • Short-container-title:International Review of Economics & Finance

Author:

Song Ziyu,Gong Xiaomin,Zhang Cheng,Yu Changrui

Funder

Shanghai University of Finance and Economics

Fundamental Research Funds for the Central Universities

Major Program of National Fund of Philosophy and Social Science of China

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference78 articles.

1. Examining the effects of news and media sentiments on volatility and correlation: Evidence from the UK;Alomari;The Quarterly Review of Economics and Finance,2021

2. Constructing a positive sentiment index for COVID-19: Evidence from G20 stock markets;Anastasiou;International Review of Financial Analysis,2022

3. Answering the skeptics: Yes, standard volatility models do provide accurate forecasts;Andersen;International Economic Review,1998

4. Modeling and forecasting realized volatility;Andersen;Econometrica,2003

5. Market liquidity as a sentiment indicator;Baker;Journal of Financial Markets,2004

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