Investor Sentiment Index and Option Price Volatility Based on MIDAS Model: Evidence from China

The paper selects the transaction data of the option market and network data from June 1, 2015 to February 2, 2018. The principal component analysis is adopted to construct investor sentiment index. The OLS and MIDAS model are employed to study the influence of investor sentiment index on the option...

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Bibliographic Details
Main Authors: Xiao Haiyan, Hao Yingxin, Wu Sirong
Format: Article
Language:English
Published: EDP Sciences 2021-01-01
Series:SHS Web of Conferences
Online Access:https://www.shs-conferences.org/articles/shsconf/pdf/2021/07/shsconf_iafsm2020_04007.pdf