Notice of RetractionInvestor sentiment and market price of risk in China's stock market

@article{Kunquan2010NoticeOR,
  title={Notice of RetractionInvestor sentiment and market price of risk in China's stock market},
  author={Su Kunquan and Xu Yuehong},
  journal={2010 IEEE International Conference on Advanced Management Science(ICAMS 2010)},
  year={2010},
  volume={2},
  pages={178-182}
}
Based on the time series of market price of risk (MPR) corresponding to the A-Share indices of SSE & SzSE, we make an inquiry into the impact of investor sentiment on the MPR. We adopt the vector autoregression (VAR) methodology, and employ impulse response functions to demonstrate the extend to which investor sentiment influences MPR. This approach is due to the fact that both investor sentiment and MPR are two important state variables in the system of stock market. Although we use the same… CONTINUE READING