The Influence Study Of Investor Sentiment On Stock Returns In China

The change of the stock market in China always affects the investor sentiment in our country.Does the change of investor sentiment affect the stock returns,and will the return of the stock affect the investor sentiment?This paper explores the relationship between them and the influence mechanism of investor sentiment on stock returns,so as to make reasonable suggestions for investors and relevant regulatory departments to promote the healthy development of the Chinese stock market.This paper selects the data from February 2003 to December 2017 in China's stock market to conduct an empirical study.First,we need to construct the index of investor sentiment.On the basis of previous research,this paper selects six proxy variables,including the discount rate of closed-end fund,the first day return of IPO,the number of IPO,the number of new accounts,the turnover rate and the index of consumer confidence.Then the principal component analysis is used after eliminating the influence of macroeconomic factors.Thus the comprehensive index of investor sentiment suitable for China's stock market is built,and the overall impact of investor sentiment on stock returns and the impact on stock returns of different characteristics are analyzed.The results show that there is a significant positive correlation between investor sentiment and stock market overall income.In addition,the influence degree of investor sentiment varies on stocks with different characteristics.Through empirical study,the stock of small share,low price earnings ratio and low market net rate is more likely to be influenced by investor sentiment.At the same time,this paper also takes investor sentiment as a non-parameter regression study,and finds that investor sentiment does not have a strict linear relationship on the stock returns with different characteristics.When investors have higher investment sentiment index(greater than 50),the characteristics of nonlinear relationship are obvious.