Research On The Impact Of Investor Sentiment On The Return Of A-share Market

As an emerging market,China’s A-share market has made remarkable achievements in the past three decades,but there are still many problems.One obvious problem is that there are some irrational phenomena in the stock market,such as "sharp rise and fall","short bull and long bear".These irrational factors have seriously affected the stability of the financial system.Among them,investor sentiment,as a systematic factor affecting the return of Ashare market,has gradually attracted attention.At the same time,with the six expansion of the subject matter of margin trading in China,the margin trading system has become an important practice of preventing major financial risks in China’s securities market.Therefore,this paper explores the impact of investors’ emotions on the return of A-share market,which is of great significance to stabilize the fluctuation of return of China’s stock market.This paper selects the daily transaction data of financing purchase volume,securities lending sales volume,financing balance,securities lending balance and the ratio of financing and securities lending transactions to the total transaction volume,constructs four variables:financing balance ratio,securities lending balance ratio,financing purchase volume ratio and the ratio of financing and securities lending transactions to the total transaction volume,and constructs the emotion index of daily financing and securities lending investors through the critical assignment method.It is found that the investor sentiment of margin trading has a significant positive impact on the yield of A-share market.At the same time,the optimism and pessimism of margin trading investors have an opposite effect on the yield of A-share market.The optimism of margin trading investors can significantly promote the rise of the stock market,while the pessimism of margin trading investors will lead to the decline of the stock market,But the force is small compared with optimism.Further research found that the sentiment of margin investors failed to have an impact on the A-share yield,but by stabilizing the impact of the overall market investor sentiment on the A-share yield,so as to stabilize the fluctuation of the stock yield and promote the A-share yield to stabilize.With the expansion of the subject matter of margin trading in China’s securities market,the impact of margin trading investor sentiment on the A-share yield is gradually significant.Finally,based on the above analysis results,this paper puts forward policy suggestions to restrain the change of stock market yield and promote the healthy development of stock market under the margin trading system.