Research On The Construction Of Intraday Investor Sentiment Index And Its Impact On Stock Price Volatility

The stock market is usually regarded as a barometer that effectively reflects the national economy,and the fluctuation of stock prices can also reflect the views of national enterprises or citizens on the allocation of market funds to a certain extent.An effective market has both the function of price discovery and effective resource allocation.As an important component of the domestic capital market,individual investors often suffer significant losses due to their lack of professional investment technology and the ability to fully interpret market information.In the turbulent international situation in 2022 and the dual challenge of more institutional and professional investors using machines for quantitative trading,the investment strategy led by individual subjective emotional factors among retail investors has led to irrational investment behavior.Blind pursuit of gains and losses not only caused greater losses,but also caused a series of chain reactions in the market,disrupting the balance of the market.Individual investors often view investment as too simplistic in order to obtain information from some securities account software and make investments.Therefore,this article selects fund inflows and volume price indicators that can be directly observed from securities trading software to construct a comprehensive investor sentiment index to study the impact on stock price volatility,explore the impact of individual investors on the market,and stand on the individual Suggestions from the exchange and financial regulatory levels are proposed to promote the institutional development of investors in China’s capital market and maintain market stability.At the same time,at the economic level,it will also address issues such as fund mismatches caused by price deviations,promoting the rational and effective allocation of resources in the market.Comprehensively sort out and compare the advantages and disadvantages of previous scholars’ construction methods of investor sentiment index,select the comprehensive investor sentiment index as the construction method of investor sentiment index in this paper,take into account the current situation of domestic market and the linkage relationship between domestic and foreign markets,and finally select the net purchase amount of northbound funds,changes in balance of financed funds and bonds,changes in capacity,the ratio of up to down companies,Hang Seng Index,Shanghai Stock Exchange Index The Dow Jones Index conducted principal component analysis on a total of seven source indicator variables,with data from the Ruisi Financial Database spanning a total of 1241 trading days during the five-year period from early2018 to the end of 2022.The market sentiment is replaced by a comprehensive sentiment index constructed by the principal component analysis method.The CSI 300 index is used to represent large market capitalization companies,the CSI 500 index represents medium market capitalization companies,and the CSI 1000 index represents the style of small market capitalization companies,and the volatility of these three indexes in each day is studied to restore the stock market volatility,By constructing a VAR model,we study the relationship between sentiment and stock market volatility,as well as the degree of impact on companies with different market capitalization.Research has shown that(1)the rise and fall of market indices and the willingness of institutions to take long are effective references for retail investors.(2)Investor sentiment is the Granger cause of stock price fluctuations.(3)The impact of investor sentiment on market stock price fluctuations is more severe in the short term.(4)The degree of influence of investor sentiment on companies with different market values,in descending order,is small market value companies,medium market value companies,and large market value companies.Finally,targeted suggestions were put forward from the perspectives of individual investors,exchanges,and financial regulatory agencies: individual investors should adhere to value investment and long-term investment;Exchanges should pay attention to the effectiveness of market information transmission and control;Financial regulatory agencies should establish a sound financial regulatory system.