Study On The Relationship Of Investor Sentiment And Chinese Stock Price

Investor sentiment is cutting-edge issues in the financial sector. As a typical immature emerging capital market, China’s stock market differs from the other mature markets,in which "financial anomalies" is also stronger and more significant. Investor sentiment as an important psychological factor, which is bound to investor behavior and decision thereby affecting the returns and volatility of the stock market. Thus, an intensive study of the impact on the stock price volatility based on investor sentiment system, it might give a reasonable explanation on the "financial anomalies" Chinese stock market. And then strengthen the Chinese stock market risk management and control, and improve government regulation the efficiency of the stock market. It will be helpful to improve the risk control of the Chinese stock market and ensure stability and sustainable development of stock market.On the basis of the existing research on behavioral finance both at home and abroad, and the actual situation in China, the study select the data in China stock market from January 5 2007 to May 17,2014 in this paper. This period experienced the different cycles:vibrations, bull market, bear market and rally market. In this paper, we try to establish an investor sentiment and equity pricing framework model, hoping to provide a useful reference for investors, regulators, the relevant population. And making use of the Hao Dan Index which is published in the Stock Market Trend Analysis weekly as the sentiment measurement.The contents of the article is divided into below parts:The first part describes the research background and significance of the article, and will introduce the ideas and methods of this paper. Researching ideas are about stock market fluctuations through a brief analysis of the factors and discussion on investor sentiment influence on the stock market volatility in the interpretation of the practical significance, in order to find out the the oretical aspects of the root causes which can not be made explanation according to traditional asset pricing theory. As investor sentiment and psychology from the financial basis conclusions need to find its theoretical basis, in the following part this paper try to combine theoretical models and evidence of financial market psychology to find a suitable quantitative indicators. Later compared with the CSI 300 Index, the investor sentiment can be made more influence by the SSE. It is more apparent when the SSE Index in the trough. Meanwhile, investor sentiment will forecast the trend of the SSE index. Finally constructing VAR model to reveal the relationship of the sentiment and the stock price volatility.