Research On The Mechanism And Effect Of Investors' Emotional Influence On Yield In Chinese Stock Market

Under the assumption of “reasonable people” and effective markets,the classical financial theory could not illustrate many financial anomalies.Along with the appearance of investor preferences,emotions and other related psychological results,how investor sentiment affects stock market returns has slowly became a hot topic in the field of behavioral finance.Therefore,from the perspective of behavioral finance,this paper uses theoretical analysis and empirical analysis to explore the impact of investor sentiment on China's stock market return and its mechanism.Firstly,this article defines the concept of investor sentiment and clarifies the related theories of behavioral finance.Secondly,based on the analysis of investor characteristics and financial visions in the Chinese stock market,the mechanism of investor sentiment impact on stock returns was explored,and then five source indicators were selected: P/E ratio,turnover rate,stock market premium rate,Closed-end fund discount rate and IPO first-day return,and the main component analysis is used to construct the comprehensive index of investor sentiment.Finally,the A-share market of the above securities is used as an example to empirically study the relationship.The one,on the basis of ADF stationarity test,a qualified VAR model was constructed,so as to explore the causal relationship between the two by using Granger causality test;The second,by using the single-factor model and fama-french three-factor model,we find out the disadvantages and construct the improved four-factor model to further analyze the effects of the two models.The theoretical analysis results show that the investors' inner emotions fluctuate during the stock trading process,which leads to heuristic bias and frame-dependent bias,which makes investors make many "irrational" behaviors.At the same time,due to the obvious herding effect of investors and the emergence of noise traders,the price and value of stocks have deviated.This kind of vision further stimulates investors' emotional changes,resulting in the next round of cycles.The empirical analysis results show that the relationship is mainly reflected in the following aspects: both of them have a Granger causality;the investor sentiment composite index Fama-French four-factor model can better explainChina's A-share market.Finally,this paper analyzes the theoretical and empirical results and puts forward some countermeasures and suggestions,hoping to provide some enlightenment and reference for the individual shareholders and the stock market as a whole.