Investor Sentiment Features Of SMEs Stock In Chinese Stock Market

The efficient market hypothesis has been the core proposition of finance theory. However, itcan not explain the anomalies in the reality of the financial markets. Based on the financial data,behavioral finance theory not only proposed a better explanation than the efficient market, but alsomade a new empirical prediction methods. Access to financial data on the basis of behavioralfinance theory, both proposed a better explanation than the efficient market, also made a newempirical prediction methods. Behavioral Finance believes that the market is not always effective,investor psychology will affect investors’ expectations and decisions, and then influence the stockmarket and securities prices.This paper is based on the finance theory, domestic and foreign research status weresummarized, by using the methods of regression analysis, principal component analysis, Grangercausality test to inspect the impact of the investor sentiment on the main board and small andmedium-sized plate yield respectively. The study found that the influence of investor sentiment forthe market of small and medium-sizedplates were significantly greater than that on the motherboard.The empirical analysis mainly consists of two parts. Firstly, according to the data of Shenzhenmarket transaction from July2008to June2012, draw lessons from Baker and Wurgler method thatinvestor sentiment can be built with new stock accounts, the new fund accounts, the Shenzhen fundindex and Shenzhen composite index, Shenzhen stock turnover, closed-end fund discount these sixindicators, using principal component analysis method to construct conforms to the characteristicsof China’s securities market investor sentiment index, and through the analysis that the index can beused as the proxy variable market sentiment. Secondly, using the combined method of theoreticalanalysis and empirical analysis, respectively to the main board and small and medium-sized boardof Shenzhen stock market in China in July2008to June2012time series data and panel dataregression analysis, regression analysis results show that investor sentiment for small andmedium-sized board market (whether index returns or individual returns) significantly greater thanthe influence of the influence on the mainboard.