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dc.contributor.authorCheema, Muhammad A.en_NZ
dc.contributor.authorMan, Yimeien_NZ
dc.contributor.authorSzulczyk, Kenneth R.en_NZ
dc.date.accessioned2019-01-17T22:31:53Z
dc.date.available2018-01-01en_NZ
dc.date.available2019-01-17T22:31:53Z
dc.date.issued2018en_NZ
dc.identifier.citationCheema, M. A., Man, Y., & Szulczyk, K. R. (2018). Does investor sentiment predict the near-term returns of the Chinese stock market? International Review of Finance, published online on 30 May 2018. https://doi.org/10.1111/irfi.12202en
dc.identifier.issn1369-412Xen_NZ
dc.identifier.urihttps://hdl.handle.net/10289/12281
dc.description.abstractRecent evidence on the relationship between investor sentiment and subsequent monthly market returns in China shows that investor sentiment is a reliable momentum predictor since an increase (decrease) in investor sentiment leads to higher (lower) future returns. However, we suggest that momentum predictability of investor sentiment originates from the boom and bust period of 2006-2008 (the bubble period hereafter). The bubble period is characterized by several months of sustained optimism followed by several months of sustained pessimism, with the market consequently earning high (low) returns following high (low) sentiment months. Therefore, we find a strong positive association between investor sentiment and subsequent market returns during the bubble period. However, investor sentiment has a negligible impact on subsequent monthly market returns once we exclude the bubble period.en_NZ
dc.language.isoen
dc.rightsThis is the author's accepted version. © 2018 International Review of Finance Ltd.
dc.titleDoes investor sentiment predict the near-term returns of the Chinese stock market?en_NZ
dc.typeJournal Article
dc.identifier.doi10.1111/irfi.12202en_NZ
dc.relation.isPartOfInternational Review of Financeen_NZ
pubs.elements-id220437
pubs.publication-statusAccepteden_NZ
dc.identifier.eissn1468-2443en_NZ


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