Construction And Empirical Test Of Investor Sentiment Index System

In recent years, as domestic research on behavioral finance in-depth,investorsentiment found that the stocks price and income and the fluctuations in asset priceshave a strong correlation. In this context, investor sentiment gains more and moreinvestors’ attention on the impact of asset prices fluctuations. Behavioral finance is acomprehensive discipline, a combination of applied psychology, investor preferences,knowledge and research emotion psychology, social psychology, cognitive psychology,and other fields. Many previous studies have shown that changes in investor sentimentwill directly lead to fluctuations in the stock market, and this will fluctuate with thespread of emotional and more intense. This effect is not only lead to the stock marketfluctuations but also have a significant impact on the prices of financial assets.Throughout the price determination process and market volatility investor sentimentplays an important role, so in the field of behavioral finance research on investorsentiment is also increasingly popular.Research on investor sentiment is also of great significance in practice.So oninvestor sentiment and the stock market in the short-term study of the relationship hasbecome very important， because it can not only identify the extent of the impact ofinvestor sentiment on the stock market from the volume, but also to take advantage ofinvestor sentiment on the stock market index to forecasting its revenues effectively. Itstheoretical value as follows: Based on the stock market gains and price trend forecast,to provide effective and reasonable regulation countermeasures and suggestions on themarket for the relevant regulatory authorities to prevent violent fluctuations in the stockmarket and disrupting the market, leading to speculation prevalence that will makethe interests of investors damaged.The paper constructs the domestic stock market investor sentiment index mainlyusing factor analysis. The first step, the structured index and the yield will be analyzedto identify the relationship between the volatility of structured index and yieldvolatility, then use the actual volatility curve to explain the situation, to identify whatcaused the stock market volatility. The final results of this study indicate that investorsentiment index and yields on investor sentiment index volatility and yield volatility is a strong correlation; the second step, to explain and test the relationship between theconstructed investor sentiment and stock market gains and the extent of gains byempirical, while comparing the income relationship between the Yale-CCER Chineseinvestor confidence index and the stock market gains，and then to examine the impacton the stock market gains of the Yale-CCER investor sentiment index and the ability topredict the size of the revenue. The results of the two indicts have the ability toforecast yields, but NI index structured in this paper is better; the third step, throughthe empirical testing and comparing to verify whether the investor sentiment is animportant factor affecting the stock equilibrium price and income. Although the resultsof this study indicate that investor sentiment index has a greater impact on stockequilibrium price and income, but not the most important factor, because its impact isnot large share of the weight; the fourth step, according the discriminant concludedand inspiration of the role of the investor sentiment index in the market, to providepolicy services for the benign operation of the stock market.Main innovation of this paper: First, the majority of the market ’s individualinvestors and institutional investors and individuals are expected to touch on prices andprice movements reflect subjective together and try to find the link that exists betweenthem, thus providing theoretical background under a new way of price discovery forinvestors and markets, to promote price return to normal by the positive and negativetrading investors; Second, by constructing the sentiment index to compare with themarket sentiment index of prediction test to test the effectiveness of both existinginvestor sentiment index, and can explain the degree of investor sentiment on themarket were measure; Third, this paper investor sentiment on the stock market returnsand volatility both to forecast the impact, the conclusions are available in the market topredict investor sentiment index and the index paper constructs were compared, one isable to test both the volatility and the correlation between market size; secondly, theinvestment can be tested on the market sentiment index of the degree of influence onthe stock market yield fluctuations.Shortcomings of this article: Data is relatively small, small part of the data in themiddle incoherent; there is a problem about Yale-CCER sentiment index is that the survey data reflects only the respondent’s subjective intention, but the actualinvestment may not really do so.