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Multi-Scale Characteristics of Investor Sentiment Transmission Based on Wavelet, Transfer Entropy and Network
1School of Economics and Management, China University of Geosciences, Beijing 100083, China.
Abstract:
Investor sentiment transmission is significantly influential over financial markets. Prior studies do not reach a consensus about the multi-scale transmission patterns of investor sentiment. Our study proposed a composite set of methods based on wavelet, transfer entropy, and network analysis to explore the transmission patterns of investor sentiment among firms. By taking 137 new energy vehicle-related listed firms as an example, the results show three key findings: (1) the transmission of investor sentiment presents more active in the short term and takes place in a local range; (2) the transmission of investor sentiment presents patterns of continuity and growth from short term to long term; and (3) the transmission patterns of investor sentiment will have specific evolutions from short term to long term. Suggestions are offered to investors, managers and policymakers to better monitor the financial market using investor sentiment transmission.
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