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...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
EDP Sciences
2021-01-01
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| Series: | SHS Web of Conferences |
| Online Access: | https://www.shs-conferences.org/articles/shsconf/pdf/2021/07/shsconf_iafsm2020_04007.pdf |