Abstract
ABSTRACTIn this article, we re-examine the causality between the stock returns and investor sentiment in China. The number of net added accounts is used as a proxy for investor sentiment. To mimic the different investment horizons of market participants, we use the wavelet method to decompose stock returns and investor sentiment into time series with different frequencies. Additionally, we test for nonlinear causal relationships based on Taylor series approximation. Our results indicate that there is a one-directional linear causality from stock returns to investor sentiment on the original series, while there is a strong bi-directional nonlinear causality between stock returns and investor sentiment at different timescales.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
