Research On The Asymmetric Influence Of Investor Sentiment On Stock Price Behavior

Studying asset pricing in the securities market has always been a key issue in academia.The endless financial paradox brings challenges to traditional finance.Therefore,behavioral finance has gradually become popular.Behavioral finance relies on two main assumptions: limited arbitrage and investor sentiment.Therefore,investor sentiment is one of the main pillars of behavioral finance.There are many irrational investors in the Chinese financial stock market.In particular,small and medium-sized investors are often subject to limited information channels and relatively low levels of knowledge,and it is often difficult to correctly estimate the price of assets.Thus,studying investor sentiment has far-reaching significance for studying the construction and improvement of China’s stock market.New component variables are selected and principal investor analysis is used to construct a new investor sentiment indicator.First,the VAR model is used to study the relationship between investor sentiment and Ashare market returns.And we verify the Granger causal relationship between the two.Then,in order to study the asymmetric influence of investor sentiment on stock price behavior,it is divided into positive emotions and negative emotions to study the market decision of investors under different emotional states.The virtual variable linear regression model is used to study the asymmetric influence of investor sentiment on stock price behavior.The results show that there is a Granger causal relationship between investor sentiment and stock market returns on the one hand.The results of the IRF show that at the beginning of the period,the positive investor sentiment has a significant positive impact on the stock market’s return,promptly pushing it to the peak,and then this effect disappears quickly,even negatively impacting the stock market.The effect of the reserve is because the investment sentiment contains the information of the future stock market return and affects the wrong pricing of the investor;On the other hand,in the state of positive emotional state or high mood,upward investor sentiment plays a significant role in promoting stock market returns.However,when the mood is in a low state or the mood is down,with the withdrawal of irrational investors,the proportion of rational investors increases,the market is gradually dominated by rational investors,and the downward investor sentiment has no significant impact on stock market returns.The reason is that market rationality matters under negative emotions.