| Since the last century,financial anomalies have appeared in the financial markets,but the traditional finance can not explain these anomalies,so the combination of psychology,cognitive science and behavioral finance gradually rise.Behavioral finance has abandoned the two basic assumptions of traditional finance,that is,market efficiency and investor's rational,and also finds that investors' investment decisions and behavior will be affected by their psychological.Compared with the western mature stock market,the Chinese stock market development time is not so long,and the construction of the legal system is not perfect.Therefore,Chinese stock market theory is more easily influenced by the psychological factors of investors,namely the investor sentiment in this paper.In this paper,we first summarize the research results of investor sentiment and its impact on the stock market.Based on the research status at home and abroad,this paper also puts forward the research ideas and content framework.After using principal component analysis,a reasonable and effective proxy index of investor sentiment is established.In order to study the relationship between investor sentiment and the returns of Shanghai and Shenzhen stock index,the GJR-GARCH-M(1,1)model is established.The result shows are shown as below.(1)There is a positive relationship between the market returns and investor sentiment.When the investor sentiment tends to be optimistic,the market returns will increase,and when the investor sentiment tends to be pessimistic,the market returns will be reduced.(2)The rate of return is negatively related to its volatility,that is,when the expected risk in the market increases,it will result in a corresponding reduction in the yield.(3)Changes in investor sentiment in the same direction of the fixed income volatility,that is,investor sentiment tends to be optimistic,confident on the market will lead to increased risk,investor sentiment tends to be pessimistic,the market cautious will make the risk smaller.(4)To sum up,positive emotions other than negative emotions can make the market returns greater volatility.Then,this paper uses VAR model to study the relationship between investor sentiment and stock returns.The results are shown as below:(1)Investor sentiment is indeed affected by the pre rate of return and investor sentiment,and there is a positive relationship between investor sentiment and return,the return rate is more than the mood to promote investor sentiment.At the same time,the rate of return will be affected by the pre rate of return and investor sentiment,but the effect is little.(2)Grainger causality test shows that there is a causal relationship between investor sentiment and the index returns.The stock market index rose to lead investors optimistic about the market,the stock market index fell to lead investors to market pessimism.Investors optimistic about the market will make a lot of money and new investors into the market,therefore the stock market rate of return is improved,investors pessimistic on the market will make investors cautious and new investors to reduce or even investors exit,and also make the stock market returns decline.(3)The impulse response diagram shows that when the investor sentiment is optimistic,that means investors go into the market,this will lead to the stock market instantly hot,the rate of rate also increase.But this increase is short,after this time the stock market will fluctuate slightly.However,cause stock market returns have greater impact on their own,so that the development of the trend of the stock market is not a result of investor sentiment expectation.The rate of return has a positive impact on investor sentiment,leading to an increase in investor sentiment.As the stock market has attracted a large number of new investors,the new investors are reflected in the rise in the latter part of the sentiments,therefore,the impact of rates on investor sentiment has a significant role in promoting and longer lasting effect... |
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