Advances in Economics, Management and Political Sciences
- The Open Access Proceedings Series for Conferences
Series Vol. 43 , 10 November 2023
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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.
investor sentiment, scale effect, principal component analysis, CICSI index
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The datasets used and/or analyzed during the current study will be available from the authors upon reasonable request.
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