Research On Investor Sentiment And CSI300Index Return

Firstly, based on the phenomenon that exist in previous researches on investor sentiment proxy variable selection which is subjective and irregular, so this paper proposes an investor sentiment index optimization method which is proven effective.Subsequently, the data is divided into four periods:bull market, bear market, stock index futures before and stock index futures after, and then this paper the relationship between HuShen300Index return and the sentiment index at different stages. The paper establishes GJR GARCH-M (1,1) model to research the sentiment index influence on HuShen300Index return and Volatility. The study shows that:(1) Changes in investor sentiment all have a positive impact on the index return in the four periods,and the impact in the bull market is bigger than what in the bear market,the impact in futures before is bigger than futures after.(2) Good news and bad news in futures before and futures after both exist asymmetric shock effect, the impact of good news in futures before is greater than the impact of bad news, but the impact of bad news in futures after is greater than the impact of good news. And the impact of bad news is greater than the impact of good news in either bull or bear market.(3)In bull market investors receive risk reward, changes in investor sentiment index have no significant impact on the volatility of yields; In bear market investors get risk of punishment, changes in investor sentiment index has a reversal volatility revision. Changes in investor sentiment in futures before and futures after both have the correction of the volatility, but the correction in futures before is bigger than what in futures after.This paper establishes VAR model of four periods to research the interaction between the sentiment index changes and HuShen300Index return. The result shows that:(1) Short-term investor sentiment has a reversal effect in four periods, but medium-term sentiment index has a significant reversal effect itself in only bear market. In bear market futures before and futures after, changes in the HuShen300 index return has a reversal correction effect on investor sentiment. The higher the medium-term return is, the more pessimistic the investors is, what does not exists in bull market.(2) In bull market, the index returns has a certain degree of inertia effect in the medium-term. Short-term investor sentiment has a reversal effect in futures before, while the index return has a certain degree of inertia effect. Changes in the investor sentiment has a certain degree of inertia on the HuShen300Index return in futures after. There are no significant impacts in other stages.(3) Granger causality tests show that there does not exist one-way or two-way causality in bull market, the sentiment index and the HuShen300Index return have a two-way Granger causality when the lag period equals to1in bear market and futures before, but when the lag period is greater than1,there only exists a one-way causality. The phenomenon also exists in futures before when the lag period equals tol,3or4, which shows that changes in HuShen300Index return is Granger reason about the investor sentiment index, and changes in the investor sentiment is not Granger reason about the HuShen300Index return.