The Impact Of Retail Investor Sentiment On The Price Volatility Of Small Cap Stocks

Our stock marcket was established in 1990 and 1991.Compared with the mature stock market with hundreds of years in developed weatern countries,our stock market often changes radically,the problems of retail investors emotional become worse and worse,of course,this is the primary stage that one emerging market want to become the mature market must pass.From the primary market to the second tradingmarket,retail investors are very active,such as hittingthe IPO and amazingly followwingduring the peak of the bull or bear market,retail investors' overreaction,greed and fear often appeared in the market,thus causing theweak price discovery function and lower market efficiency.Inthis view,researching on retail investor sentiment is of great significance.on the new order of stock market,and also benefit from supervising or instructing investors.Especially in recent years network agency The rapid development of media,more and more retail investors use mobile phone,computer and other terminal on the stock market immediately published comments,these comments tend to focus on the Internet community or forum,so network forum posts contain valuable stock retail investors emotional information,which is based on text mining to build model retail investor sentiment index provides a good condition.Especially inour country where stock market is growing,examining the influence of investor sentiment on the retail price of small cap stocks is more richly endowed by nature conditions,while the foreign mature financial markets have no such opportunities.Based on the research we received,excluding the effect of investor sentiment on the big stock,we focused on retail investors feel the impact of small cap stocks.We through the web crawler software grabbed eastmoney.com shares in the gem index shares and 38 shares of small cap stocks during the 215 from June 1st to June 1,2016 with more than 100 thousand data.Using the technology of text mining in the field of information technology to classify the captured text,the retail investor sentiment index is calculated according to a certain formula.Through the study of the investor sentiment index and stock price volatility relative and absolute volatility relationship,we get these results: Firstly,from the overall retail market sentiment,we the correlation analysis of time series data,and establish the GARCH(1,1)volatility model,Results showed the relative volatility and absolute volatility is retail investor sentiment index and stock price Negative correlation,and the retail investor sentiment index lag phase and lag phase two will be on the relative volatility and absolute volatility affect the stock,but lagged three from retail investors to affect the stock price volatility index is not significant;second,from the view of 38 small cap stocks,The higher the sentiment index is,the lower relative volatility and the absolute volatility,and retail investor sentiment index lag phase and lag phase two will be on the relative volatility and absolute volatility affect the stock,but lagged three from retail investors index impact on stock price volatility is not great.