China’s A-share Market Investor Sentiment To The Research On The Effects Of Sharpe Ratio

Compared with the mature markets abroad, China’s stock market is a immature emerging markets. Investors’ irrational behavior is more significant on the market. The emergence of the "Financial Anomalies" is more frequent, these phenomenon are closely related with investor emotional behavior. Investor sentiment containing rational emotional and irrational emotions is a more intuitive reflection of the investor complex psychological, it is inevitable for investor behavior, decision-making and stock market returns and volatility. In fact, the Chinese stock market speculating strong and low degree of regulation. It is affected more significantly by investor sentiment.This article selecting dominance index of investor’s emotion-investor confidence index -is used to investor’s sentiment index in this paper. In theory, the Sharpe ratio of volatility associated with investor’s irrational behavior has a lot of study, but those are rarely mentioned in the empirical research content. Firstly, this paper uses the consumer confidence index and macroeconomic variables to linear regression, to separate the rational and irrational elements of investors; Followed by the CSI 300 index yield indicators such as the other indexes gets the Sharpe ratio; Finally, building the vector regression equation between the sharpe ratio, the investor’s rational emotions and irrational emotions, then that using VAR model analyses and studies impulse response relationship.Through the empirical analysis the paper concludes:sharpe ratio is associated with the rational and irrational emotions of investors indeed, and the influence of the rational composition of sharpe ratio is more significant than irrational.In addition, investors also exists influence each other between the rational and irrational composition. Then in the last chapter, based on the empirical conclusions are analyzed and summarized, and put forward my own suggestions and prospects.