A Study On The Influence Of Investor Emotion On Short-term Capital Flow In Chinese Stock Market

The issue of short-term capital flow in a country has always been the focus of academic and practical research.As China's stock market becomes more open,the importance of studying short-term capital flows in the stock market will increase.Unlike the assumption that investors are set as "rational people" in traditional theory,behavioral finance believes that capital flows in stock markets are affected not only by fundamentals,but also by investor sentiment.China's stock market today has strong emotional characteristics,the overall irrational behavior is significant,investors pessimistic and high mood replacement led to sharp fluctuations in short-term capital flows.With this in mind,this article uses behavioral finance and the theory of cross-border capital flows,from the perspective of emotional heterogeneity to explore the impact of investor sentiment on short-term capital flows in China's stock market,the research has theoretical significance and application value.In the part of theory and present situation,this paper explores the connotation,characteristics and origin of investor sentiment;the general principle of cross-border capital flow in stock market;and summarizes the trading mechanism of interconnection.Empirical part,through the stock market 1093 trading days of high-frequency data as a sample,using the ARDL model to build four short-term capital flow models about domestic and foreign investor sentiment,verify the impact of domestic and foreign investor sentiment on the short-term capital flow of China's stock market.Among the main conclusions of this paper are :(1)the influence of domestic investor sentiment on short-term capital inflow and short-term capital outflow presents a "U" pattern rule of " same increase and decrease ",and the influence intensity of the latter is greater than that of the former,which makes the total amount of capital flow "U" type relationship,but lacks the explanatory power to the net capital inflow.(2)The influence of foreign investor sentiment on short-term capital inflow is "U" type,and the influence on short-term capital outflow is " inverted U" type,thus "double reverse superposition" makes the influence on net inflow show remarkable "U" type characteristic.And the influence intensity of capital outflow is greater than that of capital inflow,but the explanation of total capital flow is relatively weak.(3)The investor sentiment has obvious timeliness,the influence intensity of the domestic investor sentiment on the total capital flow on that day will be significantlyhigher than that of the previous trading day,but the "U" relationship will not change.But the influence intensity of foreign investor sentiment in the previous trading day will be stronger than that in the previous second trading day,the relationship between foreign investor sentiment and the total amount of short-term capital flow in the previous trading day is "U" type,and the relationship in the previous second trading day will decay into a linear relationship.The long-term effect is that the more pessimistic the foreign investors' sentiment will restrain the capital flow,but the short-term effect The effect,on the other hand,increases capital flows,while the short-term effect is relatively weak.Finally,according to the conclusion of the study,the corresponding policy suggestions are put forward: to establish an investor sentiment measurement and early warning system;to persist in opening up the stock market;to issue hedging information to stabilize investors' sentiment;to actively develop institutional investors and carry forward the concept of value investment;and to strengthen investor education.