The Effect Of Investors' Risk Attitude On The Stock Market In US?Japan?China

According to the theory of asset portfolio, investors will reduce the investment of risky stock when the risk aversion of them is strengthened, otherwise the opposite. Based on asset portfolio theory, this paper focuses on the impact of investors' risk attitude on the stock market, and establishes the VAR model for the data of the United States, China and Japan. We use bond spreads to measure the risk attitude of investors. The difference between junk bond and treasury measures the attitude to default risk, and the difference between long-term treasury and short-term treasury measures the attitude to time risk. The greater the spreads, the higher the degree of risk aversion. We also use representative stock index to measure the investment in stock market.The study finds that the attitude of investors behaved by bond spreads has significant influence on stock market in US. Increased risk aversion to default risk makes the stock market decline, and the increased spreads between treasuries make the stock market slightly boom. May treasury spreads is affected by monetary policy, and the QE leads spreads narrowed. The expansion of treasury spreads indicate that the economy is improving. In China, this relationship is not significant. There is no relation from 2009 to 2011, and after 2011 the corporate bond spreads has affected on the stock market. In Japan, this relationship does not exist. The reason may be that the bond spreads in China and Japan can't reflect the attitude of investors due to the fact that the Chinese and Japanese corporate bond markets are very young with small scale, poor liquidity and low rate of junk bonds. In addition, individual investors in Chinese stock market accounts for a large, which prone to irrational behavior.