The Impact Of Investor Sentiment On The Volatility Of Sci-Tech Innovation Board Market Returns During The COVID-19 Pandemi

The sudden outbreak of the COVID-19 at the beginning of 2020 is a global public health emergency,which not only threatens people’s lives and health,but also causes investors to be panic and act irrationally,leading to stock market to be volatile,especially in the STAR market.The birth of the STAR market plays an important role.It is not only an important part of China’s capital market,but also a vital part in serving the real economy and solving the financing needs of science and technology innovation enterprises.However,most of the existing literature focuses on the Shanghai and Shenzhen stock markets to discuss the impact of investor sentiment under the COVID-19,and less on the STAR market.Based on this,this paper selected P/E ratio,turnover rate,trading volume,psychological line,the number of newly confirmed cases of the epidemic,the cumulative number of cured cases of the epidemic,and Baidu epidemic search index as proxy variables of investor sentiment in the STAR market under the COVID-19,and constructed a comprehensive index of investor sentiment with different frequencies through principal component analysis.Then we will introduce the comprehensive index of investor sentiment into the GARCH-MIDAS model to build the GARCH-MIDAS-SENT model to empirically analyze the impact of investor sentiment on the volatility of returns in the STAR market under the COVID-19 at different frequencies and discuss whether investor sentiment can be used as one of the volatility prediction indicators.This study can draw the following conclusions: Firstly,investor sentiment will have an impact on the return volatility of the STAR market under the COVID-19.Secondly,investor sentiment of different frequencies has different effects on the return volatility of the STAR market.Thirdly,the ability of investor sentiment to predict volatility outside of the sample is limited,meaning that investor sentiment can be used as one of the market volatility prediction indicators,but its predictive ability is limited,mainly related to the frequency of investor sentiment constructed.Based on this,this paper puts forward the following suggestions: first,we should maintain a highly prudent attitude towards the COVID-19 in real time,manage the investor sentiment in the STAR market while strengthening the construction of epidemic prevention capacity,and alleviate the irrational fluctuations in the market.Secondly,it is supposed to predict the volatility of the stock market based on high-frequency investor sentiment,and establish a sound mechanism for risk prevention and resolution in STAR market.Thirdly,we would do well to optimize the investor structure of the STAR market.Fourthly,we ought to improve the information disclosure system of the STAR market.This study has revealed the relationship between investor sentiment and the return volatility in the STAR market under the COVID-19,enriched the relevant literature in this field,widened the range of investor sentiment measurement indicators,refined the literature on investor sentiment prediction ability.It also provides a reference for stabilizing STAR market when similar public health emergencies occur in the future.