Empirical Study On The Impact Of Investor Sentiment On The A-share Market Price Index

Traditional finance believes that investors in the financial market can make decisions based on available information to maximize utility.Even if there is imperfect rationality,large amounts of irrationality will offset each other,and financial markets are still based on their basic values.The discovery of financial visions,such as the mystery of stock premiums and the mystery of closed-end fund discounts,has had an impact on traditional finance.At the same time,with the cross-disciplinary research,psychology has been introduced into the field of finance,and the theory of behavioral finance has gradually emerged..Behavioral finance believes that it is easy for investors to be affected by factors such as their own environment and the environment and make irrational investment decisions.China's financial market has developed relatively late.Compared with developed financial markets,domestic investors have received less financial investment education.Most investors judge investment direction based on various information obtained and their own experience.In this case,China's financial market is more It is vulnerable to investor sentiment.Although it can be inferred that financial markets will be affected by investor sentiment,is this effect positive or negative? Different industries and different investment styles are affected by investor sentiment? All these problems need to be explored through empirical analysis.Based on the above issues,this thesis first briefly describes the research background,research significance,research difficulties and innovation points,and systematically reviews the existing relevant research literature;secondly,it redefines the connotation of investor sentiment.It also analyzes the mechanism of investor sentiment's influence on the stock index;and then learns from the methods established by the BW index,using closed-end fund discount rate,turnover rate,new A-share opening accounts,consumer confidence index and investor confidence in China's securities market.The five index indicators of initial emotional sentiment constructed the comprehensive index of China's initial investor sentiment,and removed the influence of macroeconomic factors represented by consumer price index,broad money supply,and macroeconomic prosperity index: consistent index and production price index.,and then built the final comprehensive investor sentiment index,and then using multiple linear regression and fixed elasticity model to analyze the impact of investor sentiment on the A-share price index,and reached three conclusions: First,the CSI 800 represented A-share market comprehensive price index is positively correlated with investor sentiment;second is value The stock index is more severely affected by investor sentiment than the growth stock index.Third,the index of different industry components is affected by the degree of investor sentiment.The indices of food industry,software and automobile industries are greatly affected by investor sentiment.However,the index of industries such as food and transportation is less affected by investor sentiment.Finally,according to the empirical analysis conclusions,specific recommendations are provided from the perspectives of investors and government supervision.There are two major breakthroughs in the research process: first,to make the impact of investor sentiment on different investment style indexes as a research direction;second,to introduce the fixed elasticity model into the investor sentiment to compare different A shares for the first time.The index is affected by the degree of investor sentiment.