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Research On Measurements Of Chinese Investor Sentiment Index And Its Relationship With Stock Market Returns

Posted on:2015-11-09Degree:MasterType:Thesis
Country:ChinaCandidate:H Y ZhangFull Text:PDF
GTID:2309330422984218Subject:Regional Economics
Abstract/Summary:PDF Full Text Request
Some assumptions of the traditional finance, such as the rationality andhomogeneity of investors as well as efficiency of market, are increasingly beingquestioned. Meanwhile, research on behavioral finance has attracted wide attention ofpractitioners and academics. As a typical and immature emerging market, Chinesestock market has a very big difference from the foreign mature stock market, and its"financial anomalies" is more prominent and significant. Investor sentiment is theimportant factor, which reflects the psychology of investors, and has a significantimpact on investor’s behavior and decision making. Therefore, to systematically studythe relationship between China stock market return and investor sentiment is aneffective way to correctly interpret "anomalies" of China stock market. Besides, witha very important theoretical and practical significance, it will help to strengthen ourmanagement and control of risk in the Chinese stock market and improve theefficiency of government supervision over the stock market, so as to ensure healthy,stable and sustainable development of Chinese stock market.In order to realize the purpose of the study, at the beginning, this paper discussesthe existing research results. Then it summarizes and teases the existing viewpointof index of investor sentiment, and discusses the relationship between investorsentiment and stock returns under different situations. Firstly, the paper analyzes themain characteristics of investor sentiment of Chinese stock market,on the basis of thatanalysis, it uses an analytic technique of principal components to construct an indexof investor sentiment which can reflects behavior of the Chinese stock market fromthree recessive investor sentiments. This paper then creatively introduces state spacemodel to classify the market situation, and the research range of sample is dividedinto positive subinterval and negative subinterval.Finally, the paper establishes a VARsystem model, and combining with the empirical results of the model, discusses thedynamic relationship between investor sentiment and stock returns in a whole marketunder an general situation as well as a specific situation. Besides, it analyses the mechanism of the interaction between investor sentiment and stock returns.Research results show that, compared with the single index, comprehensiveemotional index has a better effect, and can better reflect the volatility of investorsentiment. Analysis of Granger causality shows that, the stock returns can causesignificant change in sentiment, while changes in investor sentiment cannot causesignificant changes in stock returns. Through iterative computation by Calmanfiltering algorithm, the variable parameter time series and its graph we obtain aresimilar to the Shanghai composite index trend. Moreover, at first stock returns usuallycan cause about three periods of positive responses of investor sentiment, while as tothe investor sentiment’s driving stock prices, no matter the overall sample interval orthe positive or negative subinterval, its effect is not significant, which confirms theconclusion of Granger causality analysis, and the role of positive subinterval isrelatively obvious among the three.Furthermore, in the overall sample interval,positive subinterval and negative subinterval, the mechanism of interaction betweeninvestor sentiment and stock returns has no essential difference.
Keywords/Search Tags:behavioral finance, investor sentiment, analysis of principal components, state space model, vector auto regression model, impulse response function
PDF Full Text Request
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