Research On The Influence Of Investor Sentiment On Stock Return

Compared with other developed countries,China's securities market is small in scale and development time is not long.This special situation has caused the market to be extremely unstable,and stock returns fluctuate frequently.Behind the emergence of these phenomena,often accompanied by the birth of irrational behavior,these can reflect the psychological and emotional behavior of investors,and the phenomenon of investment decision-making based on this is investor sentiment.In the stock market,investor sentiment usually affects the fluctuation of asset prices more or less,which can easily cause stock market instability.Therefore,to understand the extent to which investor sentiment can affect stock price and volatility,and grasp investment.The psychological characteristics of the person are very helpful for shaping the healthy operation of the market.This paper is divided into four parts.The first chapter is the introduction,which introduces the background,significance and literature review of the topic,and also briefly describes the scope of the research and the contributions made.The second chapter is mainly to support the theoretical basis of the thesis and the research hypothesis proposed on this basis.The theoretical basis of this section mainly summarizes the definition of investor sentiment and analyzes the possible emotional characteristics and how it is generated with the stock market.Influence mechanism.Then,for the measure of investor sentiment,what type of indicator is used,whether it is single or compound,direct or indirect,and finally analyzes the reasons for the fluctuation of stock returns and puts forward three assumptions.The third chapter is the empirical research.It selects the market price-earnings ratio,the balance of margin financing and securities lending,the total transaction volume of Shanghai and Shenzhen stock markets,the number of new investors,the turnover rate,and the securities investor confidence index.The data selection interval is from 2010 to 2018.Then it uses the Granger causality test between it and the A-share market return rate,and joins the Fama three-factor model to carry out the multiple regression model,and verifies the investor's sentiment prediction ability.In the last part,through the above research,it is concluded that investor sentiment has a significant influence on the stock market return rate,and the higher the stock market return rate,the more significant the effect,and the lower the counter,the smaller the impact.In the short term,the stock market returns in the early period have an impact on the investor sentiment in the current period.In the medium and long term,investor sentiment will have a negative impact on stock returns.