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Journal of Statistics and Management Systems

(Since 1998)
Open Access ·Peer-reviewed·ISSN (Online): 2169-0014·ISSN (Print): 0972-0510

Indexed in ABDC Australia

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Monthly Journal: Publishes peer-reviewed aticles on theoretical and applied statistics and management systems, expoloring industrial statistics, actuarial and decision sciences.

Issues up to 2022 co-published with and available at:Taylor & Francis Online
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Journal of Statistics and Management Systems
Open Access Research Article

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

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pp. 1–8Vol. 27Issue 1January 2024DOI: 10.47974/JSMS-988XML
Received:
08 Jun 2022
Published Online:
08 Jan 2024
Article type:
Research Article
Language:
EN
Article no.:
JSMS-988
Pages:
1–8

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.

Keywords

Investor sentimentCOVID-19PandemicEmergencyBehavioral finance

Subject Classifications

Primary 03C95Secondary 20-02

References

[1] Baker M. and J. Wurgler.2006. Investor sentiment and the cross‐section of stock returns. Journal of Finance, 61:4,1645- 1680. doi: 10. 1111/j.1540-6261. 2006. 00885.x
[2] Cao, K. H., Q. Li, Y. Liu, and C. K. Woo. 2021. “COVID-19’s Adverse Effects on a Stock Market Index” Applied Economics Letters: 28:14,1157-1161, doi:10.1080/13504851. 2020.1803481
[3] Harjoto, M. A., F. Rossi, and J. K. Paglia. 2021.“COVID-19:StockMarket Reactions to the Shock and the Stimulus.” Applied Economics Letters: Applied Economics Letters 28:10, 795-801, doi: 0.1080/ 13504851.2020.1781767
[4] Mann C. L. Real and Financial Lenses to Assess the Economic Consequences of COVID-19 [EB/OL]. Economics in the Time of COVID-19, 2020:81-86.
[5] Yang M., and J. Zhou. 2022.“The impact of COVID-19 on the housing market: evidence from the Yangtze river delta region in China.” Applied Economics Letters 29:5, 409-412, doi:10.1080/ 13504851. 2020. 1869159

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