A Study On Investor Sentiment In Chinese Security Market

Since established,the security market in China is still immature.With serious policy tendency,imperfect operating mechanisms,imperfect laws and regulations,the non-stationary in our security market is very serious.So the arbitrary mechanism based on efficient market theory can't operate well.Our security market has experienced several dramatic fluctuations,which to some extent highlights investor's irrationality.The investor sentiment can reflect investor's psychology,and also affect investor's decision-making.Therefore,it is necessary to study the investor sentiment in our security market.Our study has three main aspects.First,we construct the composite indicator of investor sentiment in Chinese security market,and select the HS300 Index to get the rate of return in Chinese security market.We study their dynamic correlation based on DCC-GARCH,and find their dynamic correlation is significant but small.For quantitative analysis,we can establish regression equations.The results show that,the impact of yield on investor sentiment is greater than the impact of investor sentiment on yield;the impact of bullish investor sentiment on yield is greater than the impact of bearish investor sentiment on yield.Second,we can divide the investor sentiment into personal investor sentiment and institutional investor sentiment.For the dynamic correlation between personal investor sentiment,institutional investor sentiment and rate,we construct DCC-GARCH.The results show that,the dynamic correlation between personal investor sentiment and institutional investor sentiment is significant and biggest,the others are small and not significant.We study the market effect of personal investor sentiment and institutional investor sentiment,and find the impact of personal investor sentiment on rate is larger than the impact of institutional investor sentiment on rate.Third,we construct the composite indicator of investor sentiment in American,Japanese and Hong Kong security market according to the third chapter.We still construct DCC-GARCH and study the co-movement based on investor sentiment.The results show that,the dynamic correlation is significant;the dynamic correlation between American investor sentiment and Japanese investor sentiment is the biggest.