Research On The Impact Of GEM Investors' Emotions On Stock Returns

In neoclassical financial theory,the efficient market hypothesis is based on the rational assumptions of investors,so that the value of assets can be evaluated rationally.Even if there are irrational investors,random trading or rational hedging will not cause asset pricing.Systematic deviation.However,since the 1980 s,more and more "abnormal" phenomena in the capital market are inconsistent with neo-classical financial theory.The efficient market hypothesis has encountered severe challenges in empirical testing.The performance of China's capital market is particularly obvious,and the GEM The market is more prominent.Since the establishment of the Shenzhen Stock Exchange's GEM market,it has quickly become popular with investors.Many entrepreneurial SMEs have used the GEM market to raise large-scale development funds,which has improved the company's management level and profitability.At the same time,it has also created relatively generous returns for investors and has become an important part of the multi-level development strategy of China's capital market.The efficiency of the optimized allocation of capital market resources has been further improved,and the sustainable development of entrepreneurial and high-tech enterprises has been promoted.However,China's stock market is dominated by individual investors.Irrational dominated emerging capital markets,GEM investor behavior and their emotional manifestations are unique,and the impact on stock returns on the GEM market is obviously different from that of the main board market.This article takes the GEM market as the research object,and on the basis of combing related research results of previous generations,In combination with the actual situation of the GEM market,a more in-depth analysis of the typical characteristics of investor behavior in the GEM market,and the uniqueness of investor sentiment concentratedly reflected under this feature,and analyzed the characteristics of stock investment income of the GEM market,The influence mechanism of investor sentiment on the Chi Next market on stock returns was elaborated;On this basis,BP neural network model was used to screen investor sentiment metrics.An indicator system that appropriately reflects the sentiment of GEM investors has been constructed,so that GEM investor sentiment is separated from conventional investor sentiment measures and reflects its unique characteristics.Then constructed a comprehensive index of GEM investor sentiment and introduced it into the VAR model.The empirical test of the correlation between the measurement of GEM investor sentiment and the return on investment in GEM market.Based on the research on the dynamic relationship between the GEM investor sentiment composite index and stock returns,the GEM investor sentiment composite index has a significant positive correlation to stock returns,and the impact of good news on the volatility of GEM market earnings is greater than the negative news.Based on the results of empirical research,this article puts forward practical suggestions from the perspectiveof capital market supervision and investors' own behavior.It has certain reference significance for improving the investor education system,guiding the GEM investors' decision-making towards a more rational development,and promoting the regulatory institutions to improve the regulatory system.