Empirical Research On The Influence Of Investor Sentiment And Financial Reporting Transparency On The Stock Market

In the current capital market environment of China, research on investor sentiment and financial reporting transparency have increased gradually, although many literatures have researched on the effect of investor sentiment on stock returns and the effect of financial reporting transparency on stock returns, research on both investor sentiment and financial reporting transparency affect stock returns has not yet discovered. So this article combine normative analysis and empirical research method make a deeply investigation and research on both investor sentiment and financial reporting transparency affect stock market.At first, the article based on the analysis of the related literature about investor sentiment and financial reporting transparency, introduce the concept and the measurement method of investor sentiment and financial reporting transparency respectively. Also the article based on the theory of theory of asymmetric information, signal transmission, financial report disclosure and quality evaluation theory and theory of behavioral finance, analysis the mechanism of the impact of investor sentiment on the stock market, the mechanism of the impact of financial reporting transparency on the stock market and the mechanism of the impact of both investor sentiment and financial reporting transparency on the stock market. Also give the empirical research hypothesis; then, based on the theoretical analysis, use the data of the listed companies in Shenzhen stock exchange during2008to2012as the research samples. Select the volume, consumer confidence index, the growth rate of new accounts, the turnover rage as the four indicators, adopt the Principal Component Analysis method to construct the composite index of investor sentiment; According to the definition of financial reporting transparency, use the experience of the research achievement by Ball and Shivakumar(2005), and make some necessary modification of their research achievement according to the research achievement of Khan and Watts(2009). Select the substitute variables of financial reporting transparency and build the regression analysis model based on the measurement index of investor sentiment and financial reporting transparency. Investigate and analysis the impact of investor sentiment on the stock market, impact of the financial reporting transparency of the stock market and the impact of both investor sentiment and financial reporting transparency on the stock market respectively. The study indicates, whether the investor sentiment is in the period of optimistic or pessimistic, the impact of financial reporting transparency on stock returns is not significant, investor sentiment is the main factor which impact on the stock market; At last, the article put forward some advices on guiding investor sentiment effectively and improving financial reporting transparency effectively according to the result of empirical analysis.