Investor Sentiment、Stock Market Returns And Volatility In China

Based data of China share market over the period2005to2012,the paper constructed an aggregate measure of investor sentiment through PE、CEFD、TURN、ARMS and NEW.By employing this index,it studied and analyzed the relationship between the sentiment and stock market returns and volatility.The research results show that there is a positive correlation between investor sentiment and stock return, but there is a negative correlation between investor sentiment and stock return volatility。At the same time, stock market exists obviously asymmetric effect.When investor sentiment is high, deficit shares,the return of low growth share and the small market value share is higher, and the stock return volatility is relative higher; When investor sentiment is low, it is opposite.Blue chips, high growth share and the big market value share have asymmetric effect, however,deficit shares,the return of low growth share and the small market value share did not have asymmetric effect.