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Research on Relationship between Investor Sentiment and Stock Market Returns in China

Author: ZhaoAoLin
Tutor: LvJianSuo
School: Ningbo University
Course: Finance
Keywords: Investor sentiment Stock market return GARCH model
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Type: Master's thesis
Year: 2013
Downloads: 1
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Abstract


With the development of the financial market, there has been a variety of heteromorphism which the traditional finance is unable to explain, as a rising financial theory,behavioralfinance theory to use psychology and other social science to explain these heteromorphismappear have made a significant contribution,the investor sentiment theory is a hot issue.Dueto the short development time,compared to developed stock market Chinastock market existmany problems, therefore,to study the relationship between investor sentiment and stock market return in China, it has important implications for understanding thephenomena in thestock market,strengthen the ability of risk management.This paper reviews the recent development of related theory,and then analyzes the current status of China’s stock market and the actual effect ot investor sentiment to the stockmarket.Based on the theoretical research proposes3hypothesis.The new stock accounts、IPO first-day returns、turnover rate and consumer confidence index,4index using principalcomponent analysis method to construct the composite investor sentiment index.Use SVARmodel to empirical study of the relationship between investor sentiment and the stock market return;use GARCH model to study the influence of investor sentiment to different kindsof stock market returns and investor sentiment effect on the stock market volatility.Through the empirical research conclusions are as follows:First，Investor sentiment on stockmarket returns have significant positive influence,investor sentiment also have siginificant positive influence; and investor sentiment and the stockmarket returns are Granger reason for each other;Second，Investor sentiment has become on the stock market volatility has a significanteffect, it means investor sentiment increase the risk of the stock market;Third，Investor sentiment on stocks,mid-cap stocks, small-cap stocks is gradually increased, investors would love to buy speculative stocks.

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