Asymmetric Effects Of Invester Sentiment On Stock Market Returns In Different Market Conditions

In the theory of traditional finance,it is assumed that the investors in the capital market are rational people,and they can designate and take decisions to maximize utility based on existing information.Although there may be some irrational behaviors,these irrational behaviors will eventually be Offset,capital market asset pricing still fluctuates around its intrinsic value.However,financial anomalies such as the mystery of stock premiums continue to emerge in the market,and traditional financial theory is increasingly suspected by people,and the theory of behavioral finance comes into being.In the theoretical system of behavioral finance,investors will also be affected by many factors such as their own subjective and environmental factors when they make decisions and trading behaviors,showing a relatively common and obvious irrational characteristics.Compared with the more mature stock markets in western developed countries,China's stock market is immature in many aspects.Among them,individual investors account for the vast majority of the overall investor structure.Because individual investors are limited by time,energy and expertise,they are more susceptible to their own emotions than institutional investors.Although some scholars have confirmed that investor sentiment will have an impact on stock market returns,is this impact positive or negative? And are there asymmetries under bull and bear markets? Are there asymmetries in the impact of investor sentiment in different industries? Are there any asymmetries in the impact of investor sentiment in different industries under bull and bear markets? These issues need to be further discussed and tested.Based on the above problems,this article first briefly introduces the background,significance,methods and innovations of the research in the introduction,and then systematically reviews and combs the existing relevant research literature;drawing on Yi Zhigao and Mao Ning(2009),choose closed-end fund discount(DCEF),number of IPOs(IPON),first-day return(RIPO),new investor account opening index(NA),consumer confidence index(CCI),turnover rate(TURN),price-earnings ratio(PE),and rise and fall index(ADR)in multiple dimensions of eight sentiment indicators,and excludes consumer price index(CPI),industrial product ex-factory price index(PPI),and macroeconomic prosperity index(MBCI))And industrial production value added(IAV)and other macroeconomic factors,and then build a comprehensive indicator of investor sentiment.Then,add this indicator as a sentiment factor to the Fama-French three-factor model,observe whether the new model after adding the sentiment factor has improved the interpretation of stock returns,and use this to verify the investor sentiment index constructed previously The effectiveness of the stock market.On this basis,this paper divides the stock market into bull and bear and bear market cycles according to the improved BB method,constructs a dummy variable regression model,and analyzes the asymmetric impact of investor sentiment on the A-share index and different industry indexes in different market conditions.After research,this article has drawn the following three conclusions: First,investor sentiment does have an impact on stock market returns,and this effect is positive;Second,the impact of investor sentiment on stock market returns is obvious in bull and bear markets.Asymmetry,the stock market returns under the bull market are more likely to be affected by investor sentiment;third,different industries are affected by investor sentiment to varying degrees,and there are also asymmetries under the bull and bear markets.Under the bull market,the construction industry,The rate of return of scientific research and technical services,accommodation and catering is more susceptible to investor sentiment;under a bear market,agriculture,forestry,animal husbandry,fishery,comprehensive,health and social work are more susceptible to investor sentiment.Finally,based on the empirical results and analysis,it puts forward suggestions for improvement from the perspectives of government supervision and investors.