The Impact Of Investor Sentiment On Stock Prices Of Listed Companies In China

As a sudden public health event,the COVID-19 pandemic has had a profound impact on China and the world,which is also reflected in the stock market.Behavioral finance holds that unexpected events can impact stock markets by affecting investor sentiment,which has been proven in previous studies.Therefore,under the special background of COVID-19,this paper takes A-shares as the research object to analyze the impact of investor sentiment on stock returns,which has certain theoretical and practical significance.There is still the possibility of a resurgence of the novel coronavirus,and other emergencies are frequently occurring.Therefore,it is still of certain current significance to study the impact of investor sentiment on stock return under the background of COVID-19,and can also provide some reference for managers and investors.Specifically,this paper selected A-share daily index data from December 31,2019 to December 31,2021 as samples.The comprehensive index of investor sentiment is calculated by principal component analysis based on P/E ratio,turnover rate,turnover and other indicators.The Fama-French three-factor method is used to empirically analyze the relationship between investor sentiment and stock market returns in China.This paper discusses the impact of COVID-19 on market returns through investor sentiment.This paper also further discusses the impact of investor sentiment index on the overall market return in different stages,the return rate of different industries,and the return rate of different styles of stock portfolios.The main conclusions of this paper are as follows :(1)there is a significant positive relationship between investor sentiment and stock market yield.The COVID-19 pandemic does not affect market returns,but it does indirectly through investor sentiment.(2)During the pandemic window period,investor sentiment had no significant impact on market returns;However,during the duration of the pandemic,the impact of investor sentiment on market returns was significantly positive.(3)Investor sentiment has a significant impact on the return rate of agriculture,forestry,animal husbandry and fishery,textile and apparel,national defense and military industry,transportation and power equipment industries,among which the return rate of agriculture,forestry,animal husbandry and fishery,textile and apparel,national defense and military industry and transportation industries is significantly positive,and the impact on the power equipment industry is significantly negative.(4)When investors are in high spirits,their confidence in penny stocks and loss-making stocks will increase;When investors are depressed,they tend to buy large-cap stocks,high P/E ratio,high price-to-book ratio,high stock prices and other stocks that are easier to break even.Meanwhile,stocks in the middle are much less affected by investor sentiment.