Research on the Measurement of Investor Sentiment in Chinese Stock Market: the CICSI's Construction

The measurement of sentiment is the key issue for investor sentiment research. In the past people u- sually took discount of closed-end funds as an indicator to directly measure the changes of investor sentiment. However, there are two problems in the measures, that is measure indicator too single and the results are not pure enough. In order to overcome the shortcomings, the authors build a suitable measure of investor composite sentiment index in Chinese stock market (CICSI), this index based on 6 individual sentiment indicators, i. e. the closed-end funds at a discount, trading volume, IPO and the first day return of IPO, consumer confidence and new investor accounts, and eliminate the impact of macro-economic cycle.