An Empirical Study On The Relationship Between Investor Sentiment And The Price Volatility Based On Snowball Social Investment Platform

Following with reform and opening up, China’s securities market developed, 30 years of development allowed it to be mature, but "Herding" 、 "chase sell" and other financial differences were still uncommon. In 2015, from June 12 th to August 26 th, just a few tens of days, the Shanghai index has a cliff formula down, which gone from 5178.19 points to 2850.71 points, the stock market crash proved the irrational investment behavior of Chinese stock market. If a stock was favored by somebody, it would attract more investors to follow suit to buy, behind this irrational behavior was reflected a herd mentality, that is to say, more up,more buying; more buying, and then more up, so the cycle was. Some researchers showed that there were no relationship between investor sentiment and price volatility; while some others showed that investor sentiment had a significant effect on price volatility, but whether a positive correlation or negative correlation effect was uncompromising, the difficulty lies in how to portray investor sentiment. In recent years, the rise of social investment platform was a new generation of big data in the area of investment, whether public investors on the platform would affect the stock price fluctuations concerned the theory and practice.Taking Snowball for representatives, this paper selected 81 stable stocks in CSI 300 as the study object, and 52 weeks of 2015 as the study period, a total of 4212 datas.Then portrayed direct measure of investor sentiment, particularly, firstly, collecting more than ten thousand investors buying and selling information on the Snowball platform,so as to get public opinions that related with the psychology and emotion; secondly, constructing public opinion frequency, then study the relationship between investor sentiment and price volatility; thirdly, adding the direction of public opinion, and constructing snowball sentiment indicators, then study the relationship between participants bullish or bearish emotion which investors embodyed and real stock price trend. In empirical research, introducing value error as explanatory variables, a logarithmic measure of stock return as price volatility, and then in market up and down period, respectively carrying out research between investor sentiment and price volatility. The study showed that there are a significant relationship between public opinion frequency and price volatility, but the direction does not matter price volatility, at the same time reveals that following public buying behavior gets no profit. Investors should have a correct understanding of investor sentiment from social investment platform, be vigilant about herding effect and pay attention to rational investment; managers and regulators should supervise public opinion, promoting the healthy development of social investment platform, and developing China’s securities market to be healthy and orderly.