Research On The Construction And Application Of The Investor Sentiment Index Considering The IVX

Investor sentiment is an important factor influencing asset pricing.It has become a consensus of academia community.Frequent fluctuations in China's stock market make more scholars begin to pay attention to the research of investor sentiment,and the agency index system of investor sentiment measurement also follows.New indicators such as margin financing,analyst index and other indicators have been continuously included in the proxy index system for investor sentiment measurement.The construction theory of investor sentiment index has also been continuously optimized.The release of the Chinese volatility index(iVX)provided new ideas for further optimizing the agency index system and measuring investor sentiment more accurately.From the perspective of behavioral finance,this paper explores its inclusion in the investor sentiment measurement system,and combines with other agency variables to construct an investor sentiment index in China's stock market.Based on this,this paper analyzes the impact of investor sentiment on stock price volatility and return rate in China,and puts forward suggestions for stock investment with reference to investor sentiment index,in order to enhance investors' ability to prevent stock market volatility risk.This paper firstly verifies the consistency between iVX index and investor panic sentiment from both theoretical and empirical perspectives.Then,based on the theory of investor sentiment measurement,the closed-end fund discount rate,stock turnover rate,number of new investors,ratio of margin to securities lending,high price-earnings ratio index,and new wealth were selected on the basis of the iVX index.As a proxy variable,the division index uses weekly data from February 13,2015 to February 14,2018 as a sample,uses a principal component analysis method to construct a weekly frequency stock market investor sentiment index,and adopts the VAR model,Fama-The French three-factor model empirically analyzes the impact of investor sentiment on the price volatility of China's Shanghai A-share stock index and the returns of 15 different stock index indices.The empirical analysis results show that the iVX index has an important function of reflecting the panic of investors in China's stock market,and is particularly evident during the period of fierce shocks in the stock market.Compared to the investor sentiment index that does not include the iVX index,the correlation coefficient between the investor sentiment index included in the iVX index and the Shanghai A stock index is higher,reaching 0.825,indicating that the inclusion of the iVX index can effectively enhance the effectiveness of the constructed investor sentiment index.The empirical results show that the investor sentiment index is negatively correlated with the stock price trend in the current period,but the sentiment index has a significant positive forecast relationship with the prices of the second and third weeks,and then turns into a negative relationship,ie,there is a short term "Unresponsive" and "long-term reversal" features.In addition,changes in investor sentiment are negatively correlated with stock returns,and small-cap stocks,low P/E ratios stocks,mid-market net margins stocks,low-price stocks,and blue-chip stocks' returns are more affected by changes in investor sentiment.Based on the empirical results,this paper puts forward suggestions for risk management in the extreme event window period,timing of investment in the normal fluctuation period,and three-level selection of stocks based on investor sentiment for stock investment,which provides a reference for investors.