An Empirical Research Between Investor Sentiment And Stock Price

Since the reform and opening up,China's economy has been developing continuously.With the economic boom,the development of capital market has also gradually flourished.In the past 20 years,China's securities market has completed the transition from scratch to rapid development.Compared with the mature foreign securities market,China started relatively late,and the laws,regulations and regulatory system are relatively unsound.Therefore,in the development of China's securities market,small institutional investors and retail investors lack sufficient rationality and often appear the Herd Effect.The speculative behavior under the control of emotion has caused the abnormal fluctuation of stock prices in recent years.Especially the small and medium-sized board and the GEM,the retail proportion is higher,so the stock price fluctuation range is huge.Therefore it is very practical to study the investment behavior of medium and small board and GEM.This paper combines the basic theory of behavioral finance in foreign countries with the actual situation in China,and conducts an empirical research on the market segment of GEM as the main research object.The paper collected one indicator for measuring investor sentiment.From October 2009 to December 2017 monthly data,the 'Chinese investor confidence index' is used as the dominant indicator.At the same time,the monthly data of the GEM Composite Index from October 2009 to December 2017 is selected as the research object,mainly on the basis of vector autoregressive model,including the Granger causality test and impulse response analysis.The empirical research shows that there is a mutual relationship between investor sentiment and the GEM stock index,fluctuations in investor sentiment will bring about short-term changes in the GEM stock index.At the same time,the conclusion of Granger causality test shows that the fluctuation of investor sentiment is one of the obvious reasons for the change of GEM stock index.