A Study On The Measurement Of Investor Sentiment In China And Its Relationship With Stock

Since the late 1970s,financial researchers have found that there are many abnormal behavior and financial market visions in the securities market that are contrary to the standard financial theory.Such as stock premium puzzle and stock price volatility mystery,scale priority effect,long-term reversal phenomenon,size-price ratio forecasting ability,momentum trading phenomenon,profit announcement effect,bonus mystery,investment decentralization,over-trading and selling The mystery of decision.These financial visions,which are difficult to interpret with the standard financial theory,have a strong impact on the standard financial theory.The complete system of the standard financial theory is facing the challenge of financial reality.Since the establishment of the securities market in China in the early 1990s,since the establishment of the securities market in China in the early 1990s,the capital market has developed rapidly.But at present China's financial system is not perfect,financial supervision is not in place,small and medium-sized retail majority.Which led to the stock market crash phenomenon is frequent.Such as the stock market long-term and economic growth away from the recent stock market "thousands of daily limit","thousands of shares limit","demon shares" phenomenon.It seems that China's capital market investment in the emotional obvious.To investors' sentiment as a theoretical basis to study and analyze China's securities market has a significant advantage,And for the improvement of China's securities secondary market has a guiding significance.This paper from the perspective of behavioral finance studies the causes of investor sentiment and how to measure investor sentiment.on the research results of investor sentiment of behavioral finance this paper studies the relationship between stock market returns and investor sentiment index based The innovation of this paper lies in not only using the latest data including the big stock market in 2015,but also according to the size of the stock market,the relationship between investor sentiment and the stock of different sizes is analyzed empirically.First of all,the relevant theory from the behavioral finance,investor sentiment and investor sentiment and the relationship between the stock market perspective to do a comprehensive narrative.Secondly,from the perspective of behavioral finance,it analyzes the mechanism of investor sentiment and stock market and the related theoretical model.Then,we selected the five indexes of the number of new investors,the market turnover rate,the IPO scale,the consumer confidence index and the closed fund discount rate.The index was used to measure the investor sentiment through the principal component analysis.Finally,the vector autoregressive model is used to test the investor's emotional change and the overall stock market income.The generalized autoregressive conditional heteroskedasticity is used to test the fluctuation of the investor's volatility in the stock market volatility,that is,the fluctuation relationship of the different stock market value.Through empirical research,we get the following conclusions:1.Investor emotional change has a significant positive effect on the yield of Shanghai and Shenzhen 300.Investor sentiment and stock market gains are Granger reasons.2,the volatility of stock market returns and investor sentiment changes are related,that is,emotional fluctuations increase the risk of the stock market.3,investor sentiment changes on the impact of large-cap stocks is not significant,there is no ARCH effect,that investors will not affect the value of fluctuations in large-cap stocks have a significant impact.4,investor sentiment changes in the impact of small cap stocks significant,and there are ARCH,that is,investor sentiment fluctuations in the small cap stocks have a significant impact on fluctuations.5,the impact of investor sentiment on the small-cap stocks is greater than the impact of the plate,indicating that China's emotional investors are more inclined to speculation in small-cap stocks.