An Empirical Study Of The Influence Of Investor Sentiment On Stock Market Returns

Since the 1990s,China's stock market has been subject to frequent fluctuations,serious speculation and "policy markets",while also has had many problems such as imperfect information disclosure and inadequate supervision.Investors' overconfidence,herd behavior and other psychological biases lead to the overall overreaction of the stock market.Causing the market to be over depressed and full of bubbles,their psychological biases and "weather-beaten" fragile investment confidence will lead to the failure of the domestic financial market to play the role of financing for the real economy and optimizing the allocation of social and economic resources.Based on this background,this paper analyzes the relationship between investor seintiment index and stock market returns by measuring investor sentiment index,promotes the improvement of the financial investment environment and market supervision system,and provides investors with reasonable and effective investment suggestions.With the principal component analysis as the main research method,this paper extracts the relevant data of the securities market,selects the number of new investors opening accounts,over bought over sold,financing-amount in A-share market,investor confidence index and other investor direct or indirect sentiment indicators as proxies,to construct a comprehensive sentiment index for measuring investor sentiment.After linearly regressing the index with macroeconomic variables such as consumer price index,producer price index,macroeconomic sentiment index and generalized currency issuance index,this paper analyzes the sentiment index and stock market returns indicator based on the stock market environment to explain the relationship between investor sentiment and stock market returns,and further study the influence of investor sentiment on stock market returns.