| The seventies and the Eighties of twenty century, financial markets appeared a lot of"anomalies" that traditional finance cannot explain, the rational person hypothesis has beenquestioned, and behavioral finance booming rise, become an important finance branch withbroad prospects.Throughout history, the financial crisis and economic crisis, often beginswith the abnormal fluctuations in asset prices,especially stock price.So in this paper, basedon the behavioral finance theory, comprehensive research of investor sentiment theory andthe influence mechanism of investors irrational emotions to the influence of abnormalfluctuations in stock price,using the principal component analysis(pca), unit root test,multiple linear regression, HP filter analysis,EGARCH-M model, VAR model,state spacemodel and other econometric method to focus on the influence of investors irrationalemotions to stock asset prices overall fluctuation and abnormal fluctuations.The results can be drawn from the empirical analysis.Firstly,Investors irrational sentiment onthe fluctuation of the Shanghai composite index as a whole is symmetry, and the investorirrational sentiment on the Shanghai composite index volatility after using the HP filter toremove the trend item is also symmetry. Secondly,it is causal that investors irrationalemotions and the Shanghai composite index fluctuation or the volatility of Shanghai stockindex without trend item.Thirdly,this paper in the model join the dow Jones industrialaverage monthly fluctuations and the policy variables,then found that the influence of thisthree variables on the Shanghai composite index fluctuation or the volatility of Shanghaistock index without trend item is very significant,and the model fitting alsoimproved.Fourthly,this paper compared the Shanghai index abnormal fluctuation points andinvestors irrational sentiment graph, found that the occurrence of abnormal fluctuations inthe Shanghai index point and the peaks and troughs of the investors irrational sentimentgraph is perfectly match, and once again proved the close relationship between the two.Then, according to the reasons of the investor irrational sentiment and the result of empiricalanalysis between investor irrational sentiment and the abnormal fluctuations in stock assetprice, put forward some corresponding that China’s intervention in the financial marketsentiment and abnormal fluctuations in asset prices. |
