| With the continuous improvement and development of the theoretical system of behavioral finance,behavioral finance,which combines the high-quality theories of psychology and economics,has become one of the independent and complete branches of finance.Compared with traditional finance,behavioral finance can explain the financial anomalies effectively such as stock premium puzzle,momentum effect and long-term reversal effect in stock market.Behavioral finance believes that investors' individual behavior will be affected by emotions,and investors' emotions and cognitive biases will often affect the behavior and decision-making of investors,so investors' emotions can cause the irrational rise and fall of financial asset prices.This paper analyzes sentiment's overall effect to stock market returns in order to understand the influencing factors and mechanism of price returns and volatility in China's stock market from the perspective of investor sentiment.In this paper,firstly,by combing the relevant theories of investor sentiment at home and abroad and the relevant literature between sentiment and the overall effect of stock market returns,and combing and summarizing the existing investor sentiment index structure and the overall effect of sentiment and stock market returns,pointing out the research direction of the existing literature and the innovation of this paper;secondly,drawing lessons from previous research,from the continuous data available From the perspective of consumer confidence index,discount rate of closed fund,IPO's number and first day return,market turnover rate,new opening investors account,the monthly frequency data from 2003 to 2019 are selected.Considering the influence of the above indicators on investor sentiment,there is a leading or lagging relationship,then the analysis of component method is used to build a more accurate and reasonable investor sentiment index,and the definition of tick is given In addition to the current change value of investor sentiment after autocorrelation,the current value and new interest value of investor sentiment are further divided into four different states,which are optimistic,pessimistic,tend to be optimistic and tend to be pessimistic.Then,the empirical model is composed offour states: overall sentiment to stock market earnings,different sentiment to stock market earnings and sentiment The influence of mood fluctuation on stock market volatility is analyzed in three aspects.Specifically,the least square linear model(excluding the influence of autocorrelation and heteroscedasticity of variables on the effectiveness of parameter estimation)and VAR model,linear model with dummy variables and GARCH(1,1)The model corresponds to the above three aspects of empirical research;finally,the empirical results come to the following important conclusions: first,investor sentiment can have a positive impact on stock market returns and the effect is relatively rapid and significant,that is to say,the rise of investor sentiment can lead to the rise of stock market returns.Second,the influence of investor sentiment on stock market returns is asymmetric.Optimistic and optimistic-trending investor sentiment will significantly promote the rise of stock market price returns,while pessimistic and pessimistic-trending investor sentiment has a negative and lack of significance.Third,investor sentiment does not constitute a systematic risk of the stock market.Sentiment volatility can reverse the impact of stock market earnings volatility,but the impact is not significant.China's stock market develops rapidly over the years,but as an emerging market with a large proportion of individual investors,due to the imperfect information disclosure and low degree of standardization,most individual investors are trend to be difficult to obtain and process effective information,and their investment decision-making behavior will be affected by personal emotions and cognition in a great extent.At the same time,the stock market's many times of sharp rise and fall can not be attributed to the impact of the company or the change of macroeconomic fundamentals.Undoubtedly,investor sentiment has greatly promoted the irrational rise and fall of financial asset prices.Therefore,from the perspective of investor sentiment,further study on the impact mechanism and role of stock market asset pricing and its volatility will help investors cultivate and establish a rational investor concept,as well as better supervision and development of China's securities market management system by regulatory authorities. |
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