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The proposed comprehensive investor sentiment index is based on intuitionistic fuzzy analytic network process (IFANP) and regression model, and is compared with a sentiment index constructed on the basis of principal component analysis (PCA). The long-term relationship and dynamic relationship between the yields of these investor sentiment indexes and the Shanghai Composite Index (SHCI) are explored. Based on autoregressive moving average models and cointegration models, short-term and medium-term forecasts of the yields of investor sentiment index and SHCI are derived. The results of cointegration test, short-term forecasting and medium-term forecasting all show that the investor sentiment index based on IFANP is superior to that based on PCA.<\/jats:p>","DOI":"10.3233\/jifs-190318","type":"journal-article","created":{"date-parts":[[2020,6,9]],"date-time":"2020-06-09T13:00:57Z","timestamp":1591707657000},"page":"19-34","update-policy":"https:\/\/doi.org\/10.1177\/sage-journals-update-policy","source":"Crossref","is-referenced-by-count":2,"title":["Investor sentiment index based on intuitionistic fuzzy analytic network process method and empirical analysis"],"prefix":"10.1177","volume":"39","author":[{"given":"Xiaoguang","family":"Zhou","sequence":"first","affiliation":[{"name":"Donlinks School of Economics and Management, University of Science and Technology Beijing, Beijing, China"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Yadi","family":"Cui","sequence":"additional","affiliation":[{"name":"Donlinks School of Economics and Management, University of Science and Technology Beijing, Beijing, China"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Qin","family":"He","sequence":"additional","affiliation":[{"name":"Donlinks School of Economics and Management, University of Science and Technology Beijing, Beijing, China"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"179","published-online":{"date-parts":[[2020,6,6]]},"reference":[{"issue":"1","key":"e_1_3_2_2_2","first-page":"67","article-title":"An investor expectations stock price predictive model using closedend fund premiums","volume":"28","author":"Zweig M.E.","year":"1973","unstructured":"ZweigM.E., An investor expectations stock price predictive model using closedend fund premiums, The Journal of Finance 28(1) (1973), 67\u201378.","journal-title":"The Journal of Finance"},{"key":"e_1_3_2_3_2","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1991.tb03746.x"},{"key":"e_1_3_2_4_2","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2002.12.001"},{"key":"e_1_3_2_5_2","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2006.00885.x"},{"key":"e_1_3_2_6_2","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.02.002"},{"key":"e_1_3_2_7_2","first-page":"1","article-title":"Sentiment indices on financial markets: What do they measure?","volume":"58","author":"Bormann S.K.","year":"2013","unstructured":"BormannS.K., Sentiment indices on financial markets: What do they measure? 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