Investor Sentiment And Stock Market Return

According to the assumption of traditional financial theory,financial markets are efficient markets,and every investor in the market is rational,that is,every time the stock price already contains all the information at that time,changes in investor sentiment will not cause its investment.Changes in behavior,but from the market performance of western capitalist countries where financial markets are already well-developed,it can be found that the market is not effective,investors in the market are not completely rational,there are industry effects,herd effects,market overreactions and Inappropriate markets,such as those that cannot be explained by traditional financial theory,are out of phase.After more than two decades of development,the stock market in China has remained incomplete,the professionalism of investors is not high,and irrational behaviors often appear.People's emotions can trigger the emergence of irrational behaviors.Therefore,China's domestic investment is studied.The emotional impact on stock returns is necessary.With the rapid development of Internet technology,social media(such as Weibo,QQ,Wechat,Post Bar,etc.)have gradually entered people's daily lives,and it has become easier for people to obtain,disseminate and publish information through social media.It has changed the role that people play in the process of information dissemination.It has changed from the original recipient to the current information receiver and creator.The transformation of roles has motivated many netizens to express their opinions and published a large amount of text on social media every day.With the booming development of the Chinese stock market and the increase of Internet users,Internet stocks have become important social media for many investors to communicate with each other.Many investors watch stock comments of professional investors from Internet stocks as a basis for investment.Moreover,investors will also express their opinions.This shows that the posting text of the Internet share bar forum can represent investor sentiment.This article selects all historical posts published on Feb.8,2017-December 29,2017 Oriental Fortune Online Stock Exchange as source data of investor sentiment indicators,and on the frequency of half an hour of data to China's domestic investor sentiment and stock market.Yields are studied.First,this paper elaborates the theory and research status of behavioral finance and investor sentiment.Secondly,in order to tap the text data of investors' sentiment in the stock forum,this article uses the web crawler technology to grab the Eastern China Fortune Index,which is one year's post data in the Shanghai Stock Exchange Index.It will use half a post in the stock market opening time period.Hours are divided into eight intervals,and then sentiment analysis techniques are used to quantify each half-hour post.Based on the quantitative results,three indicators that can reflect the investor's sentiment are established:composite score,positive score,and Negative scores,in which the composite score is obtained using the positive score minus the negative score,reflecting the overall situation of investor sentiment changes in this interval.The positive score is the investor's positive view of the stock market during this period of time.In general,the negative score is a combination of all negative views of investors on the stock market during this period of time.Finally,the above evidence market uses the Fama-French model as an empirical study to study the relationship between the comprehensive investor sentiment index and stock returns during the day.The results of the study show that:(1)In the time and frequency of half an hour,the returns of different industry indices are affected by the degree of investor sentiment.(2)The Fama-French four-factor model with investor sentiment indicators can better explain China's stock market at half an hour's frequency.(3)In the frequency of half an hour,different investor sentiments have different effects on the stock market.Negative sentiment has stronger influence on stock returns than positive sentiment.(4)In the time and frequency of half an hour,the influence of investor sentiment on stock returns at different time periods on the same day varies.