A Study On The Influence Of Investor's Emotion And Market Information On Stock Price Co-movement

Since the 1980 s,People began to pay close attention to the linkage of stock prices.There is a linkage between different national securities markets and different countries in different countries.In particular,the linkage of stock market in China is obvious.this paper mainly discusses the influence of stock price and macroeconomic information on the linkage of stock price,Market regulators provide inspiration and advice.In the process of research is studied mainly from the investor sentiment and macroeconomic information in two aspects.In the first aspect,the influence of investor sentiment on stock price linkage is divided into four categories: stock,market,industry,individual and institution.It is used to construct their corresponding emotional indicators and study all kinds of emotional pairs The second part,the impact of macroeconomic information on the stock price linkage,the choice of GDP and other indicators of the respective growth rate,For different indicators to study their respective share price linkage.The regression index method is used to obtain the linkage index of stock price,and the regression model of investor sentiment,macroeconomic information and stock price linkage is established.The data and the index and model are analyzed empirically.Analysis conclusion:(1)There is a significant linkage effect in China's securities market.(2)The influence of different types of investor sentiment on the phenomenon of stock price linkage is different,individual stocks,market sentiment has a significant negative impact on stock price linkage,and the emotional impact of individual stocks is greater than the market,individual,institutional investor sentiment has a positive impact on stock price linkage,(3)different sectors of the stock price linkage is different,and different industry investor sentiment on the corresponding industry share price linkage effect is different,(4)macroeconomic information GDP,CPI,IAV,SCI growth rate has a significant impact on stock price linkage,benchmark interest rate,market interest rate and stock price linkage is negative correlation,exchange rate and stock price linkage is positive,but the correlation is not significant.