The Construction And Empirical Research Of Investor Sentiment Index In My Country's Stock Market

"Efficient"is the fundamental goal of the establishment,operation and supervision of financial markets,but it is based on the premise of"rational"investors.With the in-depth study of behavioral finance,people tend to reach a consensus that it is difficult for investors to be rational,and that financial markets are not only not"fully effective",but also"semi-effective",which is often"ineffective"and even causes financial incidents and financial turmoil."Emotion"belongs to the general nature of people,and is certainly one of the important manifestations of"irrationality"of investors.Relative to foreign countries,our country's financial markets in many areas are still in the developing stage,the market mechanism,government regulation,laws and regulations are still in the process of sound,how to solve the frequent"irrational"phenomenon in the market and speculative serious problems,is an important aspect to be solved,which needs to be based on the study of the cognitive and affect investor sentiment has a good footing.This paper mainly studies the psychological factors of investors in the process of investment from the theoretical and empirical aspects.The empirical part of the latter is the focus of this paper.In the theory part,the first to review of existing theories,on the basis of behavioral finance,the efficient market hypothesis?EMH?and the prospect theory,follow the"limited"the assumption of rational man,from the unequal sex of investors to get information and process information ability in terms of the finiteness of the causes of cognitive biases,and then the analysis of the impact of irrational emotions in it.In empirical research part,first of all,using the benchmark Shanghai composite index and the Shanghai 50 index constituents contained in the relevant data,respectively,using principal component analysis?pca?and partial least squares method to construct the corresponding sentiment index,and selected based on the Chinese stock market sentiment indicators directly?CCI and CICI?and indirect sentiment index?PE,an HSL turnover rate,volatility VOL,IPO quantity every month,clinch a deal the number of shares CJL,CJY clinch a deal amount and new investors accounts NIA?,using the method of multiple linear regression to eliminate macro factors,And the increase of each indicator lag period as a countermeasure to the problem of investor sentiment lag.Secondly,comparing the IISI^PCA and IISI^PLSLS investor sentiment indexes constructed by the two methods,whether they are applicable to China's stock market and whether they can be well explained.Finally,using the constructed investor sentiment index,VAR model,EGARCH model and PVAR model are respectively used to explore the relationship between investor sentiment and sse composite index yield volatility.Through theoretical and empirical research on the psychological factors in the process of investment,the conclusions are as follows:?1?the return rate of Shanghai composite index is the Granger cause of investor sentiment index.The results of PVAR model show that the increase of investor sentiment will lead to the decrease of return rate in the short term,and then it will recover to a positive effect.?2?the impact of the decline of Shanghai stock exchange yield on investment sentiment is obviously greater than the impact of the rise of Shanghai stock exchange index on investor sentiment.?3?the impact of negative emotions on stock market earnings fluctuations is far greater than that of positive emotions.The innovation and value of this paper are mainly reflected in two aspects:first,based on the theoretical background of behavioral finance,the"irrational"investment sentiment is discussed,which belongs to a relatively cutting-edge research field;Secondly,this paper introduced a variety of statistical methods to conduct quantitative analysis from different perspectives.After obtaining the emotional index IISIPLS through principal component analysis and partial least squares method,the EGARCH model and PVAR model were used to explore the interaction between the two,which enhanced the credibility of the conclusion.The main problems to be further studied are as follows:only the interaction effect of delayed period?one month?has been studied,while the influence of investor sentiment on stock investment in the medium and long term cannot be judged.