Rational Investor Sentiment And Irrational Investor Sentiment Comparative Study On The Impact Of The Stock Index

Investor sentiment issue is an important research area of behavioral finance. With relaxing the assumption of economic agent,behavioral finance interprets anomalies in the financial market more realistically and reasonably. Behavioral finance finds that investor sentiment will affect the behavior of investors and their investment decisions, thus affect the stock market asset pricing. The main significance of investor sentiment is helping to understand the behavior of stock market investors; helping to reveal the interaction between the price, trading volume and volatility;helping to grasp the psychological characteristics of investors for the regulation of the stock market and theoretical guidance.First of all,one the basis of referring to research which has been demonstrated from the domestic and foreign scholars, this paper has classified and sorted the investor sentiment indices. What's more,the article does multi-variable regression to capture the irrational component of sentiment, so the sentiment can be spilt into the rational and irrational component. The article establishes VAR modal and uses impulse response functions and variance decomposition to analyze the dynamic relationship between the rational investor sentiment,irrational investor sentiment and the various types stock index. At the end of the thesis,the conclusion of the thesis are given:the overall stock market decline is caused by bad macroeconomic and investors has a high investment enthusiasm subjectively; irrational investor sentiment is an important factor which affects stock prices;and there are very speculative behaviore in our stock market.