Research On The Relationship Between Investor Sentiment And Stock Returns

In the early 1990s,the Shanghai and Shenzhen Stock Exchanges were established one after another.Pulled off the prelude to the development of China's securities market,In the nearly 30 years after that,China's stock market has undergone many tests,from relatively unregulated to relatively standardized.In just a few decades,the Chinese stock market has developed into the world's second largest securities exchange market.The achievements have been obvious to all.However,there is still a big gap between the level of development and the depth of development and mature markets in the West.The historical volatility of China's stock market is very large.It is reflected in investors' vulnerability to market sentiment and making investment strategies that do not match the current market style.This misalignment further increases the fierce market volatility.Therefore,studying the relationship between the stock market and investor sentiment can allow investors to better understand market sentiment and make more rational decisions.At the same time,it also provides a way for the regulatory authorities to solve the problem of market sentiment at the level of market sentiment.This paper firstly explains the research background and significance of the thesis,and then analyzes the research status at home and abroad from the aspects of investor sentiment,investor sentiment and stock return,and makes a literature review.Based on previous research,find your own research ideas.Then from the theory of behavioral finance,it explains the mechanism of market sentiment in investment decision-making,and provides theoretical basis for the following research.Afterwards,from the market's intuitive experience and experience summary,we find out the emotional proxy variables that are suitable for the A-share market,and unlike most previous researchers,most of them directly adopt foreign mainstream agents.This article adopts the number of daily limit,the drop-out ratio,the net inflow of funds of Shenzhen-Hong Kong Stock Connect and other indicators,which is more in line with the status of A-shares,and then uses a principal component analysis method to construct a comprehensive emotional index.Through the comparison of Shenzhen Composite Index and Synthetic Sentiment Index,it is found that the changes are synchronized.It is initially concluded that investor sentiment has a positive correlation with stock returns.Then,through empirical analysis,the main empirical methods are the vector word regression model,Granger causality test,and the Fama-French five-factor model that incorporates investor sentiment indicators.They respectively study the relationship between investor sentiment and overall market return.The Influence of Investor Sentiment on the Return of Different Types of Stocks.It is concluded that investor sentiment is a factor other than market risk factors that has a significant effect on stock returns.In summary,China's A-share market is a partial emotional market.Investors need to strengthen their understanding of market sentiment in order to be able to make full use of market sentiment and make rational investment decisions.