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Impact Of Investor Sentiment On Stock Price Linkage

Posted on:2021-05-28Degree:MasterType:Thesis
Country:ChinaCandidate:H H DengFull Text:PDF
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Since the establishment of the Chinese securities market,there have been frequent signs of rising and falling share prices,and even the extreme phenomenon of a limit of 1,000 shares and a limit of 1,000 shares has repeatedly appeared.Based on behavioral finance,the collective irrational behavior of investors will have a systematic impact on the stock market.In this paper,investor sentiment is included in the analysis of the influencing factors of stock price linkage,and the degree of price linkage between individual stocks and the market in China's securities market is studied.Object,to explore the impact of investor sentiment on it.Considering that the proportion of small and medium investors in China's securities market is relatively high,and among overall investors,small and medium investors are disadvantaged in many aspects such as information collection and analysis,risk tolerance,and the development of Internet media platforms has exacerbated the situation among small and medium investors.The emotional contagion makes it easier to make group irrational investment decisions.This article conducts research from the perspective of general investors and retail investors.This paper first summarizes domestic and foreign literature on investor sentiment and stock price linkage,and summarizes it.Second,it analyzes the impact of investor sentiment on stock price linkage in theory.Then construct a composite overall market sentiment indicator through principal component analysis,and identify the sentiment tendency of stock bar postings through web crawlers and machine sentiment analysis to build retail investor sentiment indicators.In the empirical analysis,control variables such as return on assets,leverage ratio,net profit growth rate,and company size were added to conduct panel regression analysis of overall market sentiment indicators and retail investor sentiment indicators and stock price linkage values,respectively.The empirical results show that both the overall market sentiment and retail investor sentiment have a significant negative impact on the stock price linkage,and the retail investor sentiment has a greater degree of impact on the stock price linkage than the overall market sentiment,which is also related to the investor structure dominated by small and medium investors in China Consistent with the characteristics of small and medium investors.Finally,according to the empirical results and the actual situation of China's securities market,corresponding countermeasures are proposed.
Keywords/Search Tags:Stock price linkage, investor sentiment, text mining, sentiment analysis, behavioral finance
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