Reasearch On Investor Sentiment In Securities Market Based On Margin Trading

The effectiveness of market has long been questioned since the formation of efficient market hypothesis.Although market can be corrective by itself,it has been proved that the noise trader's sentiment can spread,consolidate and enlarge,thus driving and influencing asset pricing.As a pricing factor,investment sentiment can significantly affect the return.Such impact process and mechanism have become the interesting research topic over a long period.In the framework of rational expectation,based on Bayesian belief updating,this study considers investor's risk aversion,information structure and so on,theoretically,the market equilibrium under the soaring public sentiment will be analyzed;and empirically,by selecting margin relevant variables and constructing the investor sentiment index,I will further discuss the dynamic effect between investor sentiment and the CSI 300 yield,the main conclusions can be summed as follows:The theory studies analyze the changing process of market liquidity and capital cost when informed traders or market-makers are in the environment of soaring public sentiment.Conclusions show that:when information acquisition of informed trader is exogenous,the higher the market efficiency,the lower the cost of capital,the better the liquidity in the market and the higher the price of information content.When information acquisition is endogenous,the higher the degree of soaring public sentiment,the lower the market efficiency and market liquidity,the higher the cost of capital,and the less new information in price.In the environment of market makers,a high degree of soaring public sentiment can promote market liquidity,lower the cost of capital,increase the weight of fundamentals and decrease the sentiment in price.Furthermore,it shows that price in formativeness remains unaffected by the overconfident market maker,which therefore,means the motivation for information acquisition is unchanged.Empirically,the financing balance,the balance of securities,financing purchases,the ratio of the margin trading volume accounted for A share trading volume are chosen as proxy variables of investment sentiment.By constructing investor sentiment index via CRITIC empowerment method,the VAR model is built to test the relationship between sentiment index and the csi 300 yields.Result shows strong correlation between investor sentiment and the CSI 300 yields.The return has positively effect on investment sentiment,which means that yield upward inspires investor sentiment.However,the influence of investment sentiment on yield is positive in the lag of first order,and then negative,which signifies that investor sentiment can promote the ascension of yield in the short term and then this effect is negative.This study explores the impact process of investment sentiment by theoretical description and empirical test.The comparative static analysis is employed to discuss the effect of irrational behavior on the micro characteristics of market.Further,the dynamic effect between stock market returns and investment sentiment is tested.Conclusions will provide strong support to financial market microstructure theory,at the same time will also put forward effective suggestions for government regulation.