An Empirical Study On The Fluctuation Of A-share Market In China

In the 1990 s,Shanghai stock exchange and shenzhen stock exchange were established in China.During the decades of development,China experienced several rounds of bull and bear conversion due to the changes of the external environment and the influence of the internal market factors.But in recent years has repeatedly appeared surge "crash" financial vision,the traditional finance theory is that investors to participate in the market tends to be more rational,the volatility of the stock price tend to stable near its intrinsic value,this theory has not obviously can well explain the phenomenon,however,on the contrary,most of the current market of individual investors are irrational,and tend to choose blindly follow the public's investment behavior,the discretion of policy guidance,market sentiment,stocks of the grapevine cognition have seriously affected the investors for the understanding of personal emotions,led to the error execution plan,Produces the irrational investment behavior,thus causes the stock price to fluctuate greatly in the short term.Therefore,the contemporary behavioral finance theory takes personal emotion as the research focus and analyzes the change of investors' behavior pattern,which can better interpret some anomalies existing in the current market.Therefore,from the perspective of investor sentiment,this paper will study the effect of the bull bear market on the volatility of a-share market in China.In this article,first of all,analysis and summarizes the selection of investor sentiment index of the relevant theory and literature,through comprehensive consideration,choose the volume,p/e ratio,the China securities investor confidence,the hang seng AH premium index,the index of financing balance and baidu as an agent in this paper,the investor sentiment in the links of the empirical variables,and use the mainstream in the field of principal component analysis(pca),principal component is extracted by dimension reduction ways,have produced a composite index of investor sentiment;Then the relationship between the investor sentiment and the fluctuation of the stock market in China is analyzed by stationarity test and gran causality test.Finally,Eviews and Stata software are used to empirically analyze the overall effect of investor sentiment on the returns of China's a-share market and the impact mechanism of investor sentiment on the returns of China's small and medium-sized board,gem and main board respectively.The results show that,firstly,in the overall sample period,the stock returns of China's a-share market show A positive feedback effect under the influence of investorsentiment.Second,compared with the bear market,in the bull market,the change of investor sentiment has a greater impact on the overall earnings fluctuation of China's stock market.Third,in the bull market,the volatility of investors' sentiment on the stock returns of the small and medium-sized board and gem market is larger than that of the main board market.That is to say,in the bull market,the stock returns of China's small and medium-sized stocks are more susceptible to the impact of investor sentiment.