The Study Of The Influence Of Market Sentiment And Concern On Stock Market

Efficient Market Hypothesis(EMH)is the basis of modern financial theory.It holds that the stock price reflects all the information of the market,the price of financial assets has been reasonably priced,and investors can not obtain excess returns from the market.However,with the development of the financial market and the rapid increase of investors and the increase of financial anomalies in the capital market,classical financial theory is challenged in empirical aspects.This thesis studies the effects of news sentiment and attention on stock returns and index returns by using the data of news sentiment and stock attention of youkuang.Firstly,on the basis of discussing the theories of modern finance and behavioral finance,this thesis discusses the development process and theoretical characteristics of behavioral finance,constructs the DSSW noise trading model,and discusses the influence of news sentiment and attention on asset pricing.Secondly,with the data of news sentiment and news attention from youkuang,this thesis uses linear regression model to study the influence of news attention and news sentiment on stock returns.On the basis of giving four hypotheses of news attention and news sentiment on stock returns,and the data sources of news attention and news sentiment.This thesis studies the influence of news sentiment and news attention on trading behavior,the influence of weekend news attention and emotion on Monday collective bidding,and the influence of emotion and attention on stock volatility.The empirical results show that news sentiment and attention have significant effects on stock returns,volatility and opening price on Monday.Finally,the VAR model is used to study the difference of the influence of emotion and attention on the stock market,and the difference of the influence of different types of investors' attention and emotion on the stock market is studied.The thesis found that different investors' attention and emotion index have different influence on the stock market,which indicates the individual investors' attention in the stock market.The influence of bar attention and snowball attention is stronger than that of news sentiment index.The change of individual attention is prior to the change of stock price,and the change of stock price is prior to the change of news sentiment.The main innovation of this thesis is to explore the impact of different investors' emotions and concerns on stock returns,volatility and market index volatility.This study shows that news attention and news emotions can significantly affect stock returns and index returns.The relevant regulators need to strengthen the new market.The supervision of news avoids the irrational fluctuation of market caused by news sentiment.