An Empirical Analysis On The Influence Of Investor Sentimenton On Chinese Stock Price Volatity

Compared with the international developed capital market,there are still some shortcomings in the Chinese stock market,such as the imperfect market trading mechanism and the need to optimize the investor structure.Therefore,in the “message market” and “policy market” environment,the stock market is slightly In the case of change,investors will be rumored to be entangled in social irrational trading behaviors,which will increase the volatility of the stock market and the phenomenon of mispricing of financial assets.With the continuous development of behavioral finance,the field of financial asset pricing from the perspective of investor sentiment has been valued by scholars at home and abroad.This paper is divided into five chapters.The first chapter is the introduction.It introduces the research background and significance of this paper,the research methods of research content and possible innovations and difficulties.The second chapter is literature review and related theories.The literature review section summarizes the research results of various methods of constructing emotional indicators and the relationship between investor sentiment and the stock market.The theoretical part mainly introduces the theory of behavioral finance and the theory of investor sentiment.The third chapter is the construction of investor sentiment indicators.Firstly,the variable selection of constructing investor sentiment indicators is introduced.Then,the early and late variables are determined,and then the control variables are selected to construct the emotional index after controlling the macroeconomic factors.The fourth chapter is the empirical analysis of the impact of investor sentiment on stock market returns,mainly focusing on the cross-sectional effect,studying the overall effect of investor sentiment on stock market returns,and analyzing which stock characteristics of stock investment returns are more vulnerable to investment.The emotional impact of the person.The fifth chapter is the conclusion and outlook,summarizes the research conclusions of this paper,and analyzes the shortcomings of the previous research,and improves it in the subsequent research.The results of this paper show that the comprehensive investor sentiment index after eliminating the impact of macroeconomic variables has a significant impact on the overall effect of stock market returns.In terms of cross-sectional effect,investor sentiment has an impact on the stock portfolio return rate grouped by circulation market value in the current period and the lag period 1-5;investor sentiment has no significant impact on the current stock portfolio return rate based on growth ability characteristics,to the priority characteristics of investors making investment decisions when the mood changes.Investors have a significant impact on the stock portfolio yield based on stock price characteristics grouping.In the current period and the lag period 1-2,the impact on high-priced stocks is more sensitive,and it is more sensitive to the impact of lagging 3-5 on low-priced stocks.