The Empirical Research On Impacts Of Investor Sentiment On Stock Returns Of A-stock Market In China

The efficient market hypothesis(Fama,1965 a,1965 b;Fama,1970),as the core of the neoclassical financial theory,suggests that the the stock price of perfect capital market can always reflect its intrinsic value,even if its prices deviate from the intrinsic value,but because the market investors are rational and arbitrage,the price will eventually return to its intrinsic value.But in reality,because of the existence of information asymmetry and cognitive deviation factors,stock prices do not always reflect its intrinsic value,and often appear price gravely deviates from the value of the phenomenon,referred to as "financial vision".To the vision as the research object,the behavioral finance has do a lot of research on heterogeneity between individual,and prove the existence of irrational factors between individual investors.In addition,some behavior scholars gradually relax the premise condition of perfectly rational investors,investors try to study psychological activities of investment behavior and the influence of the stock market.Compared with the developed countries,our country stock market is in a transition period,there are a large number of individual investors.Due to the knowledge,energy heterogeneity between individual investors,investor sentiment will produce great influence on the stock market fluctuations.To measure investor sentiment,and research on the fluctuations in the price of the stock market investor sentiment,to accurately understand the individual investor behavior and grasp the changing rule of the stock yield has important practical significance.This article selects the period of January 2010 and June 2010 as samples,to eliminate the stocks of ST,financial,and losing date in A-share market in China,and the remaining 2774 stocks as exogenous variables,and monthly average data of the consumer confidence index(CCI),the number of ipos,turnover rate,closed-end fund discount rate and the number of new accounts,using principal component analysis(pea)to build investor sentiment index,as an endogenous variable and the index to study the effect of investor sentiment on stock returns.In this article,through the empirical study,we found that as investor sentiment increase,stock yield will also increase.In addition,this article divided into positive investor sentiment and negative investor sentiment,respectively,to study the influence on stock market returns,finally found that positive investor sentiment has more significant impact on stock returns.Investor sentiment can well reflect the stock yield,this paper partly verified the effectiveness of behavioral finance.At the same time,this article can provide investors with a certain theory reference of investment,and can provide some advice for securities managers so they can better develop the stock market.Finally,the article also exist some insufficient of theoretical aspects.