Affect Investor Sentiment On Stock Return Volatility

Since 2014 the government to promote the reform of state-owned enterprises,enterprise restructuring and upgrading policies such as the introduction of medium and small enterprises mergers and acquisitions have taken to improve the way corporate structure and expand business scope. Now coupled with the rapid development of the Internet platform, the network has been integrated into all aspects of people’s lives, in the stock market, investors will browse information through the network understand the stock market trends, investors have different emotional reaction of public opinion in the network, thereby affecting their investment decision-making behavior. Therefore research company mergers and acquisitions take affect investor sentiment changes volatility of stock returns can help investors make rational investment behavior, stabilize the stock market.In this paper, the event of mergers and acquisitions of listed companies stock price data for the study, using the event analysis, application of CAPM Model mergers and acquisitions event specifically how does it impact on the stock price fluctuations; this indicator added to investor sentiment on this basis, the use of Metaseeker text mining software to crawl stock in the post, sentiment analysis for stock analysts use ROST emotional word assignment calculated value investor sentiment; Granger causality test carried out on the basis of VAR model, impulse analysis, variance decomposition explore mergers and acquisitions in the event transfer transfer relation with the effect of investor sentiment.It draws the following main conclusions: mergers and takeovers have a greater impact on stock trading volume and stock returns, particularly mergers and acquisitions occurred daily stock trading volume and stock returns sharp growth; mergers and acquisitions transactions effect through insider event announcement effect, impact on the pass-through effect of the volatility of stock returns. Further study the formation mechanism of the pass-through effects shows that investor sentiment is one of the causes of the effects of mergers and acquisitions event delivery. Finally, government departments, listed companies,investors put forward suggestions in terms of information disclosure.