Research On Two-way Influence Of Institutional Investor Emotions And Stock Prices

Stock price synchronicity is an important topic in the study of financial market stability.It is affected by many factors,especially investor sentiment.The phenomenon of stock price synchronicity in China ’s stock market is obvious,and there is more noise such as investor herd behavior.In the investor structure,the proportion of institutional investors is gradually expanding,and it has an absolute advantage in information acquisition and asset realization.Its irrational sentiment often directly affects investment decisions and behaviors,and then affects stock price synchronicity.The emergence of stock price synchronicity will also affect the fluctuation of institutional investor sentiment.Traditional financial theory and empirical research lack a comprehensive analysis of the two-way impact of institutional investor sentiment and stock price synchronicity.Therefore,it is particularly important to study the impact between them.The thesis first introduces the research background and significance of institutional investor sentiment and stock price synchronicity,and combs the research status of the two at home and abroad.Secondly,this thesis expounds the related theories of traditional finance and behavioral finance,and analyzes the corresponding mechanism of institutional investor sentiment and stock price synchronicity.On this basis,this thesis puts forward three research hypotheses based on behavioral finance,introduces market liquidity indicators,and takes the monthly data of non-ST / * ST listed companies in Shanghai and Shenzhen A-shares from 2010 to 2022 as sample data.The sample data are studied according to different indicators,variables and model requirements.This thesis uses principal component analysis,OLS regression model,Fama-French five-factor model and other methods to realize the construction of institutional investor sentiment index,stock price synchronization index and market liquidity index,and verifies the accuracy and index of the three indicators.Finally,based on the TVP-SV-VAR model,this thesis makes an empirical study on the two-way impact of institutional investor sentiment and stock price synchronicity,and obtains the empirical results,which gives an explanation based on behavioral finance for the phenomenon of institutional investor sentiment and ’simultaneous rise and fall ’ in China ’s financial market.The empirical results of the thesis show that the three indicators constructed meet the needs of model construction,and the following conclusions are drawn : First,the impact of institutional investor sentiment on stock price synchronicity changes in the same direction.If market liquidity increases,institutional investor sentiment has a positive impact on stock price synchronicity,and the short-term positive impact will be more obvious than the long-term positive impact.Second,the impact of stock price synchronicity on institutional investor sentiment changes in the same direction.If market liquidity increases,stock price synchronicity has a positive impact on institutional investor sentiment,and the short-term positive impact will be more obvious than the long-term positive impact.By referring to behavioral finance theory and quantitative empirical methods,this thesis takes institutional investor sentiment as one of the core indicators and conducts an empirical study on the two-way impact of stock price synchronicity.From the perspective of institutional investors,the relationship between institutional investor sentiment and stock price synchronicity after adding market liquidity indicators is effectively verified.