Research On The Relationship Between Investor Emotion And CSI 300 Index

With the continuous improvement of national income and the gradual increase of surplus capital on hand,it is necessary to expand investment channels in order to maintain and increase the value of wealth.The stock market provides a reasonable investment platform for the masses.Behavioral finance theory plays an increasingly important role in explaining the stock market.A large number of empirical studies have shown that there is a relationship between investor sentiment and the stock market.But the conclusions are not uniform.So far,behavioral finance theory has not yet formed a unified theoretical system.In this context,it is of great theoretical and practical significance to study the relationship and influence between investor sentiment and the CSI 300 Index.This paper defines the concept of investor sentiment by combing relevant literature at home and abroad,and analyzes the advantages and disadvantages of various emotional indicators.Based on the monthly data of Shanghai and Shenzhen stock markets from January 2012 to December 2017,the principal component analysis method was used to construct a composite indicator of investor sentiment.Firstly,the influence of "advance" and "lag" indicators on the selection of the number of periods in the index group are analyzed,then the influence of macroeconomic factors and the extraction of principal component number are analyzed on the accuracy of the composite index,so as to optimizethe processing procedure of investor sentiment index construction.Secondly,the EG two-step method and error correction model are used to test the long-term and short-term equilibrium relationship between investor sentiment and the CSI 300 Index.On this basis,we use VAR model,impulse effect function and variance decomposition to analyze the dynamic relationship between investor sentiment and CSI 300 index.The research shows that the precision of constructing composite index of investor sentiment is the highest when selecting current and non-excluded macroeconomic impact indicators.Extracting the principal component whose eigenvalue is greater than 1 meets the accuracy requirement of the indicator.Investor sentiment is significantly positively correlated with the CSI 300 Index.It maintains an equilibrium relationship in the long and short term.Even if the two are deviated in the short term,they can reversely correct the reversion equilibrium state.Changes in investor sentiment are negative for changes in index prices.The impact of index price changes on investor sentiment changes is positive,and Index price changes are Granger reasons for investor sentiment changes.Finally,this paper puts forward measures and suggestions to improve the information disclosure mechanism,optimize the structure of investors in the securities market,and establish an early warning mechanism for investors' sentiment,so as to ensure the stable and healthy development of the stock market.