Investor Sentiment And Stock Market Volatility Correlation Studies

The research of investor sentiment and the stock market as an application of the behavioral finance in the securities market,has the very good prediction effect.The stock market is the "capital city",funded by investors,investors especially medium and small investors in the securities market larger view is not entirely out of reason,there's a certain mood.Susquehanna model pointed out that the more rational complete individual,the optimal choice is more difficult to predict,its behavior more prone to innovation behavior;The incomplete rational individuals,the more its optimal choice behavior has certain rules to follow.Another individual influences of irrational investors in the stock market are negligible,the collective mood is we need to be thinking about.Emotions as a subjective indicators are difficult to quantify,but can choose some dish language,indicators such as the indirect to quantitative,from many can be found in the research literature at home and abroad,the building of index and the actual market trends have very strong fit,can be used as a predictor.At the same time,the investor sentiment and macro economy,there exists a positive correlation must be considered in the process of the macro economic effect on the mood,so you must as far as possible to eliminate the effect,make the results more convincing.Consider only the securities market in our country,there is a very big instability,fit and macro economy is not matching.Therefore must be considered in the study of China's national conditions,choose appropriate indicators.In the process of research,due to the unique status and some indicators of capital market in China is no longer applicable,previous studies in particular the index selection is no longer applicable to the current market environment in our country.The author in reference to related research more influential thought method,integrate to represent our country securities market status indicators,to build a new mood index and verify its fit with our country market trends.Specific chose the P/E ratio,turnover rate,margin balance,this time four objective a-share investors traded index and consumer confidence index,the China securities investor confidence index two objective measures,at the same time from the production,consumption and the boom of economy three aspects respectively chose the industrial added value,consumer price index and producer price index and macroeconomic climate index of four indicators as an agent on behalf of macroeconomic fundamentals variables,using regression method to eliminate the interference to the object of study,and then use the factor analysis method to build an investor sentiment index,discovery and the trend of the market index is quite fit.