Research On The Influence Of Investor Sentiment On Stock Returns In China

After more than thirty years of development,my country's stock market has made significant achievements and is facing rare development opportunities,as well as many problems and risks.At present,small and medium-sized investors are still the main investors in China's securities market.Individual investors have uneven education levels.Some investors lack the necessary investment knowledge,skills,and frequent transactions,irrational trading behaviors are obvious.At the same time,the existence of information asymmetry and other issues further weakened investors' confidence and aggravated the fluctuation of investment sentiment of small and medium-sized investors.Severe investor sentiment fluctuations will increase the uncertainty of the stock market and even the financial market,and increase the possibility of systemic financial risks.Therefore,we need to analyze the relationship between investor sentiment and stock market returns.Based on the literature review at domestic and foreign literature,studies the origin and development of behavioral finance,learns about investor-related theories and models,and selects closed-end fund discount rate,IPO number and first-day return rate,new Increase the number of accounts opened,market turnover rate,price-earnings ratio as objective indicators and consumer confidence index as subjective indicators,using principal component analysis construct investor sentiment.This article selects the monthly return rate R of the Shanghai Composite Index as the dependent variable,investor sentiment as the independent variable,andthe consumer consumption index,GDP growth rate,and macroeconomic prosperity index as the control variables.Through the ADF unit root test,Johansen cointegration test,VAR and AR root test,Granger causality test,impulse response function analysis,and variance decomposition,it shows that investor sentiment and the monthly return of the Shanghai Composite Index after removing the influence of macro control variables.The relationship between rates.The conclusion of this article is as follows:There is a Granger causality between investor sentiment and the monthly return of the Shanghai Composite Index,that is,investor sentiment and the monthly return of the Shanghai Composite Index affect each other,and one change will cause the other to change.From the results of impulse response analysis,most of the time investor sentiment has a positive impact on the Shanghai Composite Index's monthly yield,and the Shanghai Composite Index's monthly yield has a negative impact on investor sentiment.The contribution of the monthly return of the index is 3.45% less than the contribution of the monthly return of the Shanghai Composite Index to the investor sentiment of 9.88%,that is,the monthly return rate of the Shanghai composite index can affect the sentiment of investors,and the degree of influence will even exceed the impact of sentiment on the monthly yield of Shanghai Composite Index.Based on the research analysis and conclusions,the following countermeasures are proposed: perfect investor sentiment index and stock market return index;accelerate the exploration of my country's securities market system construction,improve the trading mechanism for development of securities market;In the process of the development of securities market,its trading mechanism and information disclosure system can be constantly improved.By strengthening supervision and punishment,the interference of information deviation on investors can be effectively avoided;optimize investor structure to help individual investors correct investment concepts;establish an early warning mechanism for investor sentiment risk.