Sentiment Effects on Chinese Share Prices and Savings Deposits: The 2003-2007 Experience

40 Pages Posted: 11 Oct 2008

See all articles by Richard C. K. Burdekin

Richard C. K. Burdekin

Claremont McKenna College - Robert Day School; Claremont McKenna College - Robert Day School of Economics and Finance

Luke Redfern

Credit Suisse

Date Written: July 1, 2008

Abstract

This paper examines the importance of sentiment effects on asset allocation decisions in mainland China and beyond. Rising stock market sentiment is found to negatively and significantly impact Chinese savings deposit growth over the 2003-2007 period. Investor sentiment also exerted consistently significant effects on the discounts attached to Chinese B-shares, H-shares and ADRs by foreign investors. Although the sample period is limited by availability of the sentiment data, the indicated effects remain most robust when controlling for relative stock market performance, liquidity levels, expected exchange rate movements, and such 'indirect' sentiment measures as market and firm-specific price-earnings ratios.

Keywords: China, savings deposits, share prices, sentiment, Shanghai, Hong Kong, ADRs

JEL Classification: O16, G15

Suggested Citation

Burdekin, Richard C. K. and Burdekin, Richard C. K. and Redfern, Luke, Sentiment Effects on Chinese Share Prices and Savings Deposits: The 2003-2007 Experience (July 1, 2008). Robert Day School of Economics and Finance Research Paper No. 2008-6, Available at SSRN: https://ssrn.com/abstract=1281000 or http://dx.doi.org/10.2139/ssrn.1281000

Richard C. K. Burdekin (Contact Author)

Claremont McKenna College - Robert Day School ( email )

500 E. Ninth St.
Claremont, CA 91711-6400
United States
909-607-2884 (Phone)
909-621-8249 (Fax)

HOME PAGE: http://www.cmc.edu/rdschool

Claremont McKenna College - Robert Day School of Economics and Finance ( email )

500 E. Ninth St.
Claremont, CA 91711-6400
United States
909-607-2884 (Phone)
909-621-8249 (Fax)

HOME PAGE: http://www.cmc.edu/rdschool

Luke Redfern

Credit Suisse ( email )

United States

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