Research On The Abnormal Fluctuations Of China's Stock Market From The View Of Investor Sentiment In 2015

China's stock market has gone through 27 years,Shanghai Composite Index experienced a big rise in 2007,a serious drop within a year of 72.82%,left us a deep shadow.In the beginning of 2014,when people was still worried if Shanghai Composite Index can hold 2000 points,rushed to 3000 points unexpectedly at the end of 2014.It was rising in 2015,breaking 4500 points in April 27 th,,"mad cow" market attracted more investors to enter the market.In June 12,2015,the Shanghai Composite Index rose to 5166 points,the Shenzhen Component Index rose to 18098 points.Then the bubble burst,stock prices began to decline out of control.On July 8,2015,the Shanghai Composite Index fell to 3507 points,down about 32%,the Shenzhen stock exchange component index fell to about $11041,down about 39%.The abnormal volatility of Chinese stock market is prominent,which is closely related to investor psychology,and the most critical factor reflect investor psychology is investor sentiment.Based on the behavioral finance,this paper studies the psychological emotional decision making and the role of this emotional decision making in the abnormal volatility of stock market.The article begins with the background,significance and research status at home and abroad,the main research contents of this paper.On this basis,we make a brief analysis of the phenomenon,characteristics and causes of abnormal fluctuations in China's stock market in 2015.Secondly,starting from the perspective of investor sentiment,with the monthly data from January 2005 to December 2014 as a sample,using Principal Component Analysis(PCA)to construct the investor sentiment index,and build an ARCH model to predict the trend in 2016.In the choice of indicators,we put the news media indicator into investor sentiment.We believe that in emerging markets such as China,in particular,the authority of the media reports can affect investor sentiment.Then the VAR model is established to explore the relationship with HS300,and the TARCH model is constructed to illustrate the asymmetric effect on the HS300 index.The results show that:(1)The trend of investor sentiment after standardization is consistent with HS300 index.Therefore,the investor sentiment index can be used to grasp the psychological activities of the market investors,and provide a valuable tool to analysis the market.(2)The investor sentiment affects HS300,helping to forecast the trend of HS300 index.And the investor sentiment index contributes 85% to HS300 index.(3)The change of investor sentiment has an asymmetric effect on the HS300 index,investor sentiment becomes optimistic can bring a larger impact.Finally,based on the conclusions,some reasonable suggestions are put forward.Thus,let investors have a clearer understanding of their own psychology,cultivate a rational investment philosophy.It provides a new way to explore the stable development,the supervision,the management in China's capital market at the same time.