A Study On The Relationship Between The Strands Of Investor Sentiment And Stock Returns

This paper studies the domestic and foreign related literatures about therelationship between " investor sentiment and stock market returns in the stock market", combined with many years of practical experience, analysis from theoryto practice, the change of the mentality of research in this paper in2005Septemberto2014March during the development Chinese stock and contact with individualinvestors, institutional investors, the behavioral finance to study A shareinvestors sentiment and stock returns the practicability and necessity.Methods in this study, we selected the IPO initial return (RIPO), IPO, thenumber of new accounts, A shares the average exchange rate (TURNOVER), tradingvolume of five representative mood proxy variables, using principalc o m p o n e n t a n a l y s i s m e t h o d, c o n s t r u c t s t h e s e n t i m e n tindex a comprehensive investment.Then set up VAR model and Tgarch-M, analysisof the bull market and bear market in each period, the asymmetric effectof interaction and interactive relationship between investor sentiment and stockmarket returns. Through empirical analysis, draw the following two conclusions:First, the VAR model based on the relationship between investor sentiment andstock market returns.Through the study, both during the bull market or bear market, there is atwo-way interaction between investor sentiment and stock market returns. But incomparison, rate of return for the influence of investor sentiment is more significant。Second, using the Tgarch-M model on the study of the asymmetric effectsOfconclusion.Investor sentiment for the asymmetric effect of stock market returns in a bullmarket period stock returns by optimism influence, pessimism is ignored during thebear market, it is just the opposite. Stock yields asymmetric impact on investorsentiment is also manifest in the bull market yields rose more obviousimpact oninvestor sentiment, stock returns are ignored during the bear marketdecline, it is justthe opposite.In this paper, by studying the relationship between investor sentiment and stockmarket returns, the conclusion has a certain guiding significance for stock investment for investors, but also to strengthen supervision, to promote theintroduction of regulators to provide a theoretical basis for the stock market tomature measures.