| China’ s economy has developed rapidly since the reform and opening-up policy,stock market has also grown out of nothing,from its establishment at the beginning to its rapid development later.However,due to its rapid development,laws and regulations and regulation system are weaker in China compared with other developed countries in the world.Both the physical markets and financial market are influenced by the changes of macro economy and microeconomic basis.However,different to the physical markets,stock market is also influenced by the investor sentiment.The vice-president Liu He commented the influence of Sino-US trade friction on China’s stock market: the psychological impact is greater than the actual impact.So when the stock fluctuates a little,investors who are not rational enough will feel extremely nervous and make irrational trading behaviors.And investment behavior under the control of emotions will also cause abnormal fluctuations in stock prices.The emergency and development of behavioral finance,scholars at home and broad have put the emphasis on the research to the investor sentiment.Foreign research on investor sentiment keep one step ahead,their scholars keep exploring the influence of asset pricing on investor sentiment.Domestic scholars mainly refer to the foreign research method in the research on the relationship between investor sentiment and stock market,combine with the actual situation of China and fully take account of China’s basic national conditions in the selection of proxy,which is the scientific guarantee of the later research.Besides,choosing a right model ensures that the research can better reflect the reality,which is also the goal of this thesis.This thesis explores the stock market operation mechanism from the perspective of investor sentiment and gets into deep research on the impact of the investor sentiment on the stock market according to the ideas of question,theoretical basis,empirical research,indexes construction,conclusion and discussion and suggestion.This text includes six sentiment proxy indexes launched by National School of Development,Peking University,which can reflect the web-based text information of investor sentiment in China.Also,the monthly data of CSI 1000 index is used as the research object so as to construct the index by principal component analysis.The thesis uses the three-factor model of Fama-French,EGARCH model and quantile regression model to carry out researches separately on the yields,fluctuation and liquidity of the stock market.The study shows that the investor sentiment and the yields in stock market are proportional.The higher mood,the higher yields.Fluctuation of the investor sentiment aggravates the risk of fluctuation in stock returns.Also,the impact is more significant in heightened emotionality of investor sentiment than in depressed emotionality of investor sentiment.This thesis also includes the impact of stable emotionality of investor investment on the market liquidity,and this kind of impact are proportional.Therefore,in order to avoid the harmful effects brought by the violent emotional fluctuation of investors,supervision department should take active measures,build investor sentiment early warning system,strengthen the management and the control of the market and the management and education of the investors,and guide them with the investment philosophy.This paper attempts to combine the subjective indicators with the objective indicators,explore the way to join the network text big data,use quantile regression and other methods,in order to analyze the relationship between investor sentiment and market more comprehensively and accurately,and provide valuable reference for the follow-up research. |
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