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In this paper, we first use a simple mathematic model to infer the role of buy-side analysts in correcting the optimistic stock recommendation and earning forecast of sell-side analysts, and then investigating the relationship between investor sentiment and optimistic stock recommendation and earning forecast in those two types of analysts. The results show that, when the market sentiment is higher, the stock recommendation and earning forecast are more optimistic for sell-side analysts, whereas the stock recommendation and earning forecast are more conservative for buy-side analysts. Further evidence confirm that the relationship between in market sentiment and stock recommendation and earning forecast are significantly different between buy-side analysts and sell-side analysts. Our findings have import implications for stock market development in China. [ABSTRACT FROM AUTHOR]

Basing on the theoretical model and empirical analysis, this paper provides a discussion of the hedging effectiveness between the stock market and index future market under the imperfect market conditions. In theoretical analysis, the relation of market imperfection with market microstructure noise and hedging effectiveness is established. In empirical analysis, one approach based on nonparametric estimation is established and applied to real data. The reasonableness of model assumptions and the correction of model conclusions are verified by using 5-minute frequency intra data. Both theoretical and empirical analyses show that the higher the degree of market imperfection, the more necessary to consider the impact of market microstructure noise when using stock index futures to hedge the stock market risk. The empirical results also show that there exists a high degree of imperfection between stock market and stock index future market, but the degree of imperfection has a decreasing trend. [ABSTRACT FROM AUTHOR]

This paper selects the China's newly opened stock trading accounts as a proxy of investors' sentiment index, and uses the ARMA-GARCH-type models to examine the relationship between the investors' sentiment index and the stock returns. The results show that the ARMA-GARCH-type models can effectively capture the autoregressions and the heteroscedasticities of investors' sentiment index and the returns of Shanghai Stock Exchange composite index. The result from Granger Causality Test demonstrates that the factor of returns of Shanghai Stock Exchange composite index is a significant affecting element to the change rate of investors' sentiment. However, we find that the change rate of investors' sentiment has no significant Granger causality relationship. Investors may adjust their sentiment based on different characters of market performances. When the market is on the raising period, investors behave in a more optimistic mood. At the same time, more new investors enter into the stock market. By contraries, when the market is on reverse period, investors behave in a pessimistic mood. Investors will wait and see, and go slow entering into the stock market. The newly opened stock trading accounts will also be decreasing. [ABSTRACT FROM AUTHOR]