Research On The Impact Of Small And Medium-Sized Retail Investors Sentiment On Stock Return

Since the birth of the Shanghai Stock Exchange in December 1990, China's stock market has been 36 years of development, has made remarkable achievements.In the end of 2015, China's annual GDP was 67.67 trillion, the total market value of the stock market has reached 60 trillion, and the securitization rate was about 90% level.As China's stock market small and medium-sized investors irrational, they were vulnerable to their own emotional impact, then turning out the chase and sell the phenomenon and the herding effect. The finally,small and medium-sized retail investors has a large area of losses.China's stock market is a small and medium-sized retail market, and small and medium-sized investors in China vulnerable to their own emotional impact, and thus affect the stock investment income.Compared with traditional finance, behavioral finance theory can be more accurate and effective description, analysis of investor behavior and traditional financial theory can not explain the abnormal phenomenon,This article defines investor sentiment as part of a system bias that is expected in the future market.Therefore, this paper takes the stock market in our country as the object, takes the behavioral finance perspective to study the influence of the small and medium retail investment sentiment on the stock return, and then discusses the influence of the investment emotion on the stock of different scale. Finally, some suggestions are put forward to deal with the investment sentiment of the small and medium-sized retail investors.In order to better measure the investment sentiment of small and medium-sized retail investors in China, this paper analyzes the relationship between good and weak index (SI), new number of open accounts (NNOA), CCTV BSI (BSI), and Jaguar investor confidence index (ICI) by principal component analysis,to build a small and medium-sized retail investment sentiment composite index (CSI).Then through the measurement of CSI and the Shanghai Composite Index, Shenzhen Composite Index,Shanghai and Shenzhen 300 Index and SW small ,medium,large-sized index and other indicators of the correlation between the level and significance level. The expression is made to describe the emotions of small and medium retail investors as follows: CSI=0.236909SI + 0.229935CCI + 0.1990090ICI + 0.227115NNOA.In terms of measuring the stock returns, this paper chooses the index of Shanghai Composite Index, Shenzhen Component Index, Shanghai and Shenzhen 300 Index ,SW small ,medium,large-sized index .First of all, the CSI and the Shanghai Composite Index, Shenzhen Component Index, Shanghai and Shenzhen 300 Index and SW small ,medium,large-sized index weekly rate of return on the ADF test to test its smoothness. Secondly, the use of investor sentiment indicators CSI, Granger causality test, to verify investor sentiment and investor sentiment changes and China's securities market on the card index,Shenzhen Component Index, the Shanghai and Shenzhen 300 Index and SW small ,medium,large-sized market weekly index rate of return.Thirdly, this paper uses VAR model to test the influence of small and medium retail investors' emotions and their changes on the Shanghai Composite Index, Shenzhen Component Index, Shanghai and Shenzhen 300 Index and SW small ,medium,large-sized market weekly rate of return.In this paper, the investor sentiment index and its changes on the Shanghai Composite Index, Shenzhen Component Index, Shanghai and Shenzhen 300 Index and SW small and medium-sized small cap and its changes were regression analysis.Finally,this paper uses impulse response analysis to analyze the impact of small and medium retail investors' sentiment on the Shanghai Composite Index, Shenzhen Component Index, Shanghai and Shenzhen 300 Index and SW small ,medium,large-sized index.The final results show that the small and medium retail investors emotional and the rate of change and the Shanghai Composite Index, Shenzhen Component Index, Shanghai and Shenzhen 300 Index and SW small ,medium,large-sized index yield between the existence of mutual causal relationship.According to the empirical study in this paper, we can get the following conclusions: 1) in the overall trend, China's small and medium-sized retail investment trends and market trends tend to have convergence.2) In the stock market, small and medium retail investors affect their stock investment earnings, and investment sentiment is more likely to affect the Shenzhen market stocks.3) In terms of the size of different stocks, small and medium-sized retail volatility is more likely to cause fluctuations in the earnings of small cap stocks.4) the stock market itself will also affect the ups and downs of the impact of investor sentiment, and small cap stocks more attractive to small and medium retail chase sell down.5) The Shanghai Composite Index, Shenzhen Component Index, Shanghai and Shenzhen 300 Index and SW large-sized market index for the investor sentiment index change rate of the impact of presents a positive response.And SW small ,medium-sized index for the investor sentiment index The impact of the rate of change presents a negative response.So the investment sentiment can be used as a positive indicator of large-sized stocks investment,and the reverse index of small ,medium-sized stocks.For our small and medium-sized retail use of these irrational behavior to improve its investment income provides the basis.To sum up,it is concluded that China's stock market is irrational. In China's stock market, the investment risk of small and medium-sized retail investors is one of the factors that affect the stock price and earnings.Therefore, as the main stock market in China's small retail investors in the investment process not only need to consider the stock fundamentals, but also pay attention to the impact of investment sentiment.Not only does small and medium-sized retail enterprises need to establish in line with China's stock market status of the investment philosophy,, but also need for their own investment sentiment and investment income characteristics to make a better risk management, and they can learn from the characteristics of small and medium-sized retail investors to obtain investment income.