2010•Journal of Hunan UniversityRequires access

An Empirical Analysis on Institutional Investor Sentiment and Stock Returns in China

Guang Yang

Abstract

This paper analyzes the mechanism of institutional investor sentiment impact on stock price based on the advised DSSW model.Use China Securities analyst index as institutional investor's sentiment index,test the relationship between institutional investor's sentiment and stock returns in China's stock market by GARCH model.It proves that the sentiment from the institution investors is the chief element to influence the price of stock.As well,their fluctuations play a certain effects on it but not lead to the systemic risks.

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Key concepts: Autoregressive conditional heteroskedasticity, Institutional investor, Stock (firearms), China, Financial economics, Stock market, Investor profile, Stock market index