A Study Of The Influence Between The Investor Sentiment And The Returns In A Share Market

With a variety of heteromorphism coming out in the financial markets in the 1980s, people are starting to focus on the causes of heteromorphism. Therefore, the standard finance theory faces to severe challenge, a large number of new financial theory become more and more prosperous, they tried to explain the heteromorphism of financial markets, behavioral finance theory is one of successful examples. As a branch of behavioral economics, behavioral finance research that people cognition, emotion, attitude and a series of psychological characteristics in the investment decision-making processes and non-validity of the market. Such as overconfidence, mental accounting, loss aversion, regret aversion and other psychological characteristics have a significant impact on stock market gains. This article focuses on the metrics of investor sentiment and its impact on the A-share market.This paper reviews the main results of investor sentiment researched by the domestic and foreign scholars, according to the daily and weekly data of the proportion of accounts and stock markets returns, and studying investor sentiment and the stock market is a causal relationship or not with the Granger causality, and the establishment of VAR Model to examine changes in investor sentiment and the impact of A-share market relations.This paper is divided into five chapters: The first chapter is introduction, it includes the research background, significance and a literature review, summarized the deficiencies of existing research and propose research ideas. The second chapter introduces theoretical analysis of the investor sentiment impacting on the securities market. We analyze the impact of stock market investors in the stock market performance on a variety of emotions such as overconfidence, overreaction, loss aversion, regret aversion and mental accounting analysis of, as well as the impact on the stock market. The third chapter tells us the metrics of summarized investor sentiment,such as the closed-end fund discount, the financial index compiled by the market research, the composite index and the proportion of A-share accounts. The fourth chapter tells us the proportion of new accounts of the A shares data as a measure of investor sentiment index in A-share market, using the impulse response function and variance decomposition analysis of the impulse response of the path among the variables based on the VAR model, then using Granger causality test the causal relationship between A shares investor sentiment indicators and rate of return in A-share market. The fifth chapter is a summary chapter, introduces drawbacks and prospects.The results indicate: in the short term, the proportion of A-share fluctuations accounts of the impact on the Shenzhen greater impact than on the Shanghai Stock Exchange, but in the long term, showing the opposite result, that is, opening the proportion of the impact of fluctuations on the Shanghai Stock Exchange Shenzhen City is greater than . Both in the short term or long term, opening the proportion of the Shanghai A refers to the volatility and fluctuations in yield, account refers to the proportion of volatility and the Shenzhen A Volatility, opening the proportion of volatility and the Shanghai and Shenzhen 300 Index Volatility cells are present in both directions Granger causality.The results indicate: the proportion of A-share accounts fluctuations have the greater impact on the Shenzhen Stock Exchange than on the Shanghai Stock Exchange in the short term, but in the long term showing the opposite result, that is the proportion of A-share accounts fluctuations have the greater impact on the Shanghai Stock Exchange than on the Shenzhen Stock Exchange. Both in the short term and in the long term, between the proportion of A-share accounts fluctuations and the A-share index of Shanghai, between the proportion of A-share accounts fluctuations and the A-share index of Shenzhen, between the proportion of A-share accounts fluctuations and the Shanghai and Shenzhen 300 Index volatility,they all have Granger causality in both directions.Investors are lack of effective information because Chinese securities markets established 20 years ago. Therefore, investors are particularly vulnerable to decisions taken by the impact of investor sentiment, leading to irrational fluctuations of the stock market. Therefore, on one hand, investors should adhere to investment philosophy of long-term value; the other hand, regulators should guide the implementation of market-oriented investors as one of important means of regulation, and guide the market senses with gentle way, so that China's securities market can develop sustainablely.