Time-varying lead–lag structure between investor sentiment and stock market

• Published in: The North American journal of economics and finance Vol. 52; p. 101148
• Main Authors: Yao, Can-Zhong, Li, Hong-Yu
• Format: Journal Article
• Language: English
• Published: Elsevier Inc 01.04.2020
• Subjects: Investor sentiment; Lead–lag structure; Symmetric thermal optimal path; Investor sentiment; Symmetric thermal optimal path; Lead–lag structure

This paper uses the thermal path method to study the lead–lag structure of sentiment and the stock market. First, based on principal component analysis, four indicators are selected to construct the sentiment index. Furthermore, the effectiveness of the thermal path method is verified by numerical s...