Reconstructed series

Sentiment index

Shanghai Stock Index

Macro index

Mean period

Proportion of variance

Mean period

Proportion of variance

Mean period

Proportion of

variance

High frequency signal

24

38.66%

9

1.64%

17

17.83%

Low frequency signal

96

48.75%

96

59.68%

48

36.55%

Residual signal

192

12.59%

192

38.68%

192

45.62%