{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,4,3]],"date-time":"2026-04-03T19:27:59Z","timestamp":1775244479580,"version":"3.50.1"},"reference-count":31,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2021,3,13]],"date-time":"2021-03-13T00:00:00Z","timestamp":1615593600000},"content-version":"vor","delay-in-days":71,"URL":"http:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"funder":[{"DOI":"10.13039\/501100001809","name":"National Natural Science Foundation of China","doi-asserted-by":"publisher","award":["11401438"],"award-info":[{"award-number":["11401438"]}],"id":[{"id":"10.13039\/501100001809","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100003091","name":"Government of Shandong Province","doi-asserted-by":"publisher","award":["17CCXJ14"],"award-info":[{"award-number":["17CCXJ14"]}],"id":[{"id":"10.13039\/501100003091","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Computational Intelligence and Neuroscience"],"published-print":{"date-parts":[[2021,1]]},"abstract":"<jats:p>Investor sentiment is a hot topic in behavioral finance. How to measure investor sentiment? Is the influence of investor sentiment on the stock market symmetrical? That is all we need to think about. Therefore, this paper firstly selects five emotional proxy variables and constructs an investor sentiment composite index by principal component analysis. Secondly, the MS\u2010VAR model is employed to study the dynamic relationship among investor sentiment, stock market returns, and volatility. Using the model MSIH (2)\u2010VAR (2), we found that the relationship among the investor sentiment, stock returns, and volatility is different in different regimes. The results of orthogonal cumulative impulse response analysis showed that the shock to investor sentiment has a significant impact on stock market returns, and this impact in the bullish stock market is significantly higher than in the bearish stock market. The impact of the shock to stock market returns on investor sentiment and stock market volatility is relatively significant. The shock to stock market volatility has significant effects on the stock market returns. Overall, the influence of investor sentiment on the stock market is asymmetric; that is, in different regimes of the stock market, the impact of investor sentiment on the stock market is different. Realizing this, investors can better understand and grasp the market, guiding their own investment behavior. Other researchers can also further study the measurement of investor sentiment on this basis to better guide investors\u2019 behavior.<\/jats:p>","DOI":"10.1155\/2021\/6672677","type":"journal-article","created":{"date-parts":[[2021,3,13]],"date-time":"2021-03-13T19:20:12Z","timestamp":1615663212000},"update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":33,"title":["The Measurement Method of Investor Sentiment and Its Relationship with Stock Market"],"prefix":"10.1155","volume":"2021","author":[{"given":"Jiangshan","family":"Hu","sequence":"first","affiliation":[]},{"ORCID":"https:\/\/orcid.org\/0000-0001-9666-8563","authenticated-orcid":false,"given":"Yunyun","family":"Sui","sequence":"additional","affiliation":[]},{"given":"Fang","family":"Ma","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2021,3,13]]},"reference":[{"key":"e_1_2_10_1_2","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00077"},{"key":"e_1_2_10_2_2","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00184"},{"key":"e_1_2_10_3_2","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2006.00885.x"},{"key":"e_1_2_10_4_2","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1986.tb04513.x"},{"key":"e_1_2_10_5_2","doi-asserted-by":"publisher","DOI":"10.1086\/261703"},{"key":"e_1_2_10_6_2","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1991.tb03746.x"},{"key":"e_1_2_10_7_2","doi-asserted-by":"publisher","DOI":"10.1257\/jep.21.2.129"},{"key":"e_1_2_10_8_2","volume-title":"Principal Component Analysis","author":"Jolliffe I. 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