Research on the Measurement of Investor Sentiment in Chinese Stock Market: the CICSI's Construction
针对以往情绪测度指标单一且不纯的问题，基于封闭式基金折价、交易量、IPO数量及首日收益、消费者信心和新开户数六个指标，构建了适合中国股市的投资者综合情绪指数（CICSI），并剔除了宏观经济周期影响。
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.