Advances in Economics, Management and Political Sciences

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Proceedings of the 7th International Conference on Economic Management and Green Development

Series Vol. 43 , 10 November 2023


Open Access | Article

The Influence of Investor Sentiment on Scale Effect of the A-Share Market: An Empirical Analysis of Principal Components

Yutao Zhou * 1
1 Southwestern University of Finance and Economics

* Author to whom correspondence should be addressed.

Advances in Economics, Management and Political Sciences, Vol. 43, 60-69
Published 10 November 2023. © 2023 The Author(s). Published by EWA Publishing
This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Citation Yutao Zhou. The Influence of Investor Sentiment on Scale Effect of the A-Share Market: An Empirical Analysis of Principal Components. AEMPS (2023) Vol. 43: 60-69. DOI: 10.54254/2754-1169/43/20232125.

Abstract

Scale effect in the stock market refers to the negative correlation between company size and expected return, which is a common anomaly in the financial market. Investor sentiment is the opinion that investors create based on their expectations of the potential future cash flow from their assets and the inherent dangers of making investments. The initial goals of this paper were to develop an investor sentiment index system and investigate how it relates to the market scale impact. In this paper, principal component analysis and the CICSI index, which can better measure Chinese investor sentiment, are combined to construct investors More than 3000 sample stocks are grouped by size, the average return rate of each group is calculated, and the scale effect is tested. Through the verification of the scale effect under the optimistic, neutral, and pessimistic sentiment index, the applicability of generated sentiment index to the scale effect is confirmed.

Keywords

investor sentiment, scale effect, principal component analysis, CICSI index

References

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Data Availability

The datasets used and/or analyzed during the current study will be available from the authors upon reasonable request.

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Volume Title
Proceedings of the 7th International Conference on Economic Management and Green Development
ISBN (Print)
978-1-83558-107-0
ISBN (Online)
978-1-83558-108-7
Published Date
10 November 2023
Series
Advances in Economics, Management and Political Sciences
ISSN (Print)
2754-1169
ISSN (Online)
2754-1177
DOI
10.54254/2754-1169/43/20232125
Copyright
© 2023 The Author(s)
Open Access
This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited

Copyright © 2023 EWA Publishing. Unless Otherwise Stated