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Research On The Mutual Influence Of Investor Sentiment And Stock Price

Posted on:2019-04-19Degree:MasterType:Thesis
Country:ChinaCandidate:G Y PanFull Text:PDF
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The sharp fluctuation of stock price is not only harmful to the stable development of the national macro-economy,but also the efficiency of the company's financing and the interests of investors.The premise of maintaining the stability of stock price is to find out the factors that affect stock price and clarify its mechanism.Based on the theory of behavioral finance,this paper studies the relationship between investor sentiment and stock price,and puts forward some countermeasures and suggestions for government departments to prevent,reduce enterprises and investors to deal with sharp fluctuations in stock prices.The main contents of this study include: first,the literature is combed in the order of effective market hypothesis,investor sentiment concept,investor sentiment and stock price interaction,and then the theories related to investor sentiment are expounded,and the possible behavior patterns of investors under the full rational assumption are analyzed.Secondly,it explains the mutual influence mechanism of investor sentiment and stock price;thirdly,based on the results of related theory and mechanism analysis,it constructs the compound investor sentiment index,and uses the TGARCH-M model to demonstrate the mutual influence relationship between investor sentiment and stock price;finally,it proposes to reduce the volatility of stock market from the perspective of investor sentiment.Suggestions.The paper is composed of five parts.The first part is the introduction,which includes the research background and significance of the research;from the four aspects of the effective market hypothesis,the limitation of the effective market hypothesis,the definition of investor sentiment and its impact on the stock market,the research literature is reviewed and summarized,and the research ideas of this study are made.The second part is the theoretical basis of investor sentiment,which focuses on the theoretical basis of behavioral finance which affects the mutual influence of investor sentiment and stock price,including the prospect theory,the behavior asset pricing theory,and the introduction of the theory to analyze the investors in the risk.The possible behavior pattern lays a theoretical foundation for the study of the mutual influence of investor sentiment and stock market.The third part is the mechanism analysis.This part constructs the DSSW noise trading model based on the renewal of Bayesian belief,and explores the mutual influence mechanism of the investor sentiment and the stock price on the premise of a series of assumptions.The fourth part is an empirical part.This part first introduces the operating principle of Calman filter and its rationality in constructing investor sentiment.Then,on the basis of the results of principal component analysis,we use Calman filter to construct the investor's overall emotional index and make a descriptive statistics on the investment emotion index,followed by the construction of the investor's emotional index.The investor sentiment index and stock price are tested by unit root and RACH effect.Finally,TGARCH-M model is used to verify the interaction relationship between investor sentiment and stock price.The fifth part is the conclusion and suggestion.This part makes a judgment on the relationship between investor sentiment and stockprice,and proposes to help stocks according to the theory model and the empirical results.Suggestions for further healthy development of the city.The following conclusions are drawn: first,the relationship between the investment sentiment and the stock price,the rise of the stock price will drive the investor's emotion to rise,and the rise of the investor's emotion will further promote the stock price rise.Conversely,falling stock prices will drive investors' mood down,and investors' low spirits will lead to falling share prices.And the main reason for this mutual influence is that investors continue to modify the future price expectations after observing the historical prices that have been generated;second,investor sentiment will affect the volatility of stock prices,optimistic sentiment will slow the volatility of stock prices,and pessimistic sentiment will aggravate the volatility of stock prices.The main reason is insufficient response to good news and overreaction to bad news.Combined with the conclusion of the study,this paper puts forward some suggestions to guide individual investors to set up correct investment ideas,deepen the information disclosure system and improve the risk prevention mechanism of investor sentiment.
Keywords/Search Tags:investor sentiment, noise trading model, TGARCH-M model, stock price volatility, Calman filtering
PDF Full Text Request
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