Modeling And Application Research On The Impact Of Investor Sentiment On Stock Returns Of Oil And Gas Companies

Behavioral finance holds that asset prices are determined not only by their intrinsic value,but also by the psychological factors of investors.Therefore,investor sentiment is an important factor affecting stock market returns.In the oil and gas industry,the profit and share price of oil and gas companies are affected by the fluctuation of oil price.Because of the impact of market opinion and demand,the stock market of oil and gas companies is prone to noise trading.Therefore,it is of great significance to analyze the influence of irrational investor sentiment on stock returns of oil and gas companies.Therefore,based on the daily trading stock prices of 39 world-known oil and gas companies from December 16,2002 to April 15,2019,this paper uses binomial distribution model to construct a daily investor sentiment endurance index to continuously capture the dynamics of investor sentiment.Secondly,this paper uses static and dynamic panel regression models with different forcasting-horizon to explore the time frame of short-term impact of investor sentiment on stock returns of oil and gas companies.Considering the influence of different economic cycles and macroeconomic variables,the sensitivity of stock returns of oil and gas companies to investor sentiment changes is called sentiment effect.Finally,the dynamic panel regression model is used to explore the impact of stock characteristics and oil price fluctuations on the emotional effects of oil and gas companies.The results show that,firstly,in the sample interval,the static panel model and the dynamic panel model show that the investor sentiment endurance index has a significant negative impact on the stock returns of oil and gas companies,and its impact will weaken with time.Specifically,the dynamic panel model shows that the investor sentiment of oil and gas companies rises by 1% on the day and the stock return will decrease by 4.46% on the next day,but the impact on the average return of oil and gas companies in the next month will drop to-0.03%,and the impact coefficient of the investor sentiment persistence index will decrease by 90% in the first week.Secondly,the regression results of dynamic panel model show that investor sentiment has a greater impact on the stock return of oil and gas companies after considering the longterm trend of stock return of oil and gas companies.In the sample interval of this paper,the sentiment effect plays a dominant role in influencing factors of stock returns of oil and gas companies in the first stage,while the momentum effect plays a greater role in the last stage.Thirdly,after considering the impact of different economic cycles and macroeconomic variables,the investor sentiment effect is still significant in a sample period of one month.At the same time,compared with the sentiment effect of oil and gas companies in the period of economic expansion and when the stock market of oil and gas companies goes up,the impact of investor sentiment on oil and gas companies' stock returns is greater in the period of economic recession and when the stock market of oil and gas companies falls.Finally,oil price fluctuation has a driving effect on sentiment effect,and this effect is more significant in high-capitalization oil and gas companies.Therefore,this paper enriches the investor sentiment-return theory by exploring the impact of investor sentiment on the stock returns of oil and gas companies.At the same time,this paper clarifies the impact of investor sentiment on the stock returns of oil and gas companies,which helps to understand the operation mechanism of investor sentiment effect in the oil financial market and the role of investor sentiment in the formation of the stock prices of oil and gas companies.