Research On Investor Sentiment Based On The ETF Fund Market

As a frontier and hotspot of behavioral finance theory,the study of investor sentiment has many meanings: First,investor sentiment as an important complement to classical finance theory as behavioral finance theory will undoubtedly improve the existing financial system.Secondly,The study of emotional sentiment helps to reveal the inherent logic of irrational decision-making of investors,and then deepen our understanding of the law of the operation of financial asset prices.Finally,the study of investor sentiment helps the market regulator to carry out the investor's psychological and market dynamics Effective control,can be related to the formulation and implementation of the policy to provide an important reference.In this paper,the existing research on investor sentiment is the starting point of the research on investor sentiment,which is different from that of the previous stock market.The goal is to turn to the emerging ETF fund market,and the 50 ETF market as the research object The Then,based on the compilation method of foreign market volatility index(VIX),the VIX index of China's option market is calculated by extracting the transaction information of the 50 ETF option market,and it is used as the agency index of investor sentiment of SSE 50 ETF fund market.In this paper,the statistical characteristics of the constructed VIX index and its relationship with the ETF market trend are studied.Then,the interaction between ETF market price and investor sentiment is studied by using the asymmetric generalized heteroscedasticity model-EGARCH.Finally,the relationship between ETF market rate of return and investor 's emotional change is studied by using VAR model and Granger causality test.The relationship between ETF market price fluctuation and investor' s mood swings is discussed.The results show that VIX can indirectly reflect investor sentiment.ETF price is a positive impact factor of investor sentiment,in turn,investor sentiment is also a significant impact factor ETF price.Empirical results show that the impact of market information on investor sentiment and the impact on ETF prices are asymmetric.The impact of negative information on investor sentiment fluctuation is greater than the impact of positive information on the same degree.On the contrary,the impact of positive information on ETF price fluctuation is greater than that of negative information of the same degree.Finally,the Granger causality test shows that investors' emotional changes and ETF yields are Ganger causality.This shows that in the ETF fund market,investors' market returns help to predict future investor sentiment changes,in turn,changes in investor sentiment also help to predict future market returns for investors.