Based On The Emotional Investor Behavior Research

The agent is rational and the market is efficient in The Modern Financial Theory (MFT). So the investor behavior has no influence on financial market, even if there are irrational investors, they will be wash out by the arbitrageurs. So it is not significance to research on investor behavior. But the Behavioral Finance Theory (BFT) relaxes the rational agent hypothesis and gives the explanation more close to the reality than MFT. The investor behavior has more influence on asset pricing and financial market in BFT.The thesis focuses on investor sentiment and the influence of investor sentiment on investor behavior and tries to find the mechanism of the investor behavior based on investor sentiment influencing the asset pricing and economy. The thesis tries to measure the investor sentiment with the empirical studies through the compares of closed-end fund discount index, consumer confidence index, the investor confidence index. The thesis tests the framework through the overconfidence belief in Chinese online trader.The thesis contains four main parts. First, the mechanism of investor sentiment to behavior is focus. The thesis research investor decision-making model through cognition structure, information processing and decision motives. The agent decision-making is constrained by intuition system and reasoning system. The monitor of reasoning system to intuition system is lax. So the agent makes the heuristic judgments. When the agent gets the information, he will reduce the complexion through simple, mental accounting, availability and ignorance. The information process makes systematic biases. The agent decision motives is not only the income or wealth maximization, the psychology satisfactions is one of the most important motives. The psychology satisfactions are avoiding cognitive dissonance and satisfying the control feeling.Second, through the model construction, a conclusion is got that the noise trader cannot be washed out by the arbitrager in the game between the noise trader and the arbitrager. In this situation the sentiment investment strategic may be the best strategic. More noise trader can create more noise trader risks, more volatility of asset price and less financial quantity. From macro control aspects, three measures should be taken to reduce the noise trade: open market operation; trade tax and short-term capital income tax. In the game between noise trader and the arbitrageur, the role of arbitrageur is not...