The Study Of Impaction On Investor Sentiment And Shanghai A-Share Market Return And Volatility

Traditional finance theory suggests that investors who participant in the market are rational and pursuit self-interest maximization,but a large number of empirical studies have found that there are many "visions" on the market cannot be explained by traditional finance theory,scholars began to study in great quantities and gradually formed theory of investor sentiment based on the background of behavioral finance theory.The theory suggests that investors are not all rational,people will always be influenced by emotion in the process of investment judgment,and then appear a behavior deviation. more and more literature prove that investor sentiment is an important factor that affect stock market returns and volatility,the theory has become a research hotspot of behavioral finance in recent years. Therefore,the research on investor sentiment has important significance to grasp the characteristics of China’s securities market,guide the behavior of investors in a reasonable way,guarantee the healthy,stable and sustainable development of the securities market.This paper chooses nine proxies,including a closed-end fund discount,stock market turnover,a new growth of shares account,consumer confidence index,trading volume,initial public offering return,market price-earnings ratio, initial public offering number,initial public offering turnover on the basis of previous studies,builds a comprehensive index of investor sentiment by principal component analysis. Then makes a empirical analysis on Shanghai a-share market return and volatility by using OLS regression model,VAR autoregressive model and granger causality test.In addition,using granger causality test alone to analyse the causal relationship between CISI and Shanghai a-share market returns and volatilities in stages,Including bull, bear and sideways market. Finally,makes a empirical analysis on the influence relationship between CISI and the securities industry retunu volatility.The results of the study show that,CISI built by this paper has consistent overall trend with Shanghai composite index,which indicating a better fitting. OLS regression results show that investor sentiment index has a significant positive impact on shanghai A-share market return and volatility,and the degree of influence to return is greater than volatility. VAR models and granger causality test results show that investor sentiment and the expected Shanghai a-share market return are significant positive relationship and mutual granger reason; Investor sentiment has also a significant positive impact to the expected market volatility,and is the granger cause of market volatility. But on the other hand,the influence of market volatility to the expected investor sentiment is uncertain,and the volatility is not the granger cause of investor sentiment.In phases,granger causality tests show that in Shanghai a-share market,the causal relationship between investor sentiment and market returns> volatilities is obvious in bull market,but is not sure in bear and sideways market.The regression results of industry classification show that investor sentiment has significant positive correlation with the securities industry returns and volatilities,and this influence is obviously different.