Investor Sentiment, Stock Composite Index And Investment: A Case Study Of Investor Sentiment Index Provided By CCTV

In the first chapter of this dissertation, investor sentiment index and relatedfinancial theory are introduced. Meanwhile,there are the main research achievementsin this respect at home and abroad.In the second chapter, the current definition of investor sentiment and theselected data are introduced. Moreover, the data are processed simply.In the third chapter,the used statistical analysis method and the required modelare present.In the forth chapter, by correlational analysis it is obtained that sentiment indexis related to Shanghai composite index and the same day of Shanghai stock return;Byestablishing simple linear regression model, sentiment index is linearly associatedwith Shanghai composite index and the same day of Shanghai stock return; Bygranger causality test,it is analysed whether there is a granger causality betweensentiment index and Shanghai composite index or the same day of Shanghai stockreturn. Finally,it is a effect comparison of institutions and personal emotion to themarket.In the fifth chapter, by correlational analysis it is obtained that sentiment index isrelated to the next day of Shanghai stock return;By establishing simple linearregression model, sentiment index is linearly associated with the next day ofShanghai stock return; By granger causality test,it is analysed whether there is agranger causality between sentiment index and the next day of Shanghai stock return.Finally, compared to institutional investor sentiment index and Individual investorsentiment index，which have stronger ability to predict.