| Since 2005 the completed of Non-tradable Share Reform of Listed Companies in China,the Chinese stock market developed rapidly,more and more investors are willing to participate in the investment of the stock market,but there is still a certain gap from the development of mature market breadth and depth from the western developed countries,many Chinese investors are not very good at the market status analysis and they can not judge the stock market independently.They are also easily affected by investor sentiment.Therefore,the study on investor sentiment and stock returns can help regulators and policy makers a clearer understanding of the influence of investor sentiment and stock returns and the market gap with the western developed countries,can also help investors correctly understand investor sentiment,help them more rational investment choices in the future,has very important significance significant for the sustained and healthy development of Chinese stock market.This paper first summarizes the definition of investor sentiment,scholars and the related theory of traditional finance and behavioral finance,and briefly described the differences and similarities between the two.Then,from the perspective of the classic theory of behavioral finance,put forward the idea that investment decisions of investors can be affected by investor sentiment,and then the results of previous studies on investor sentiment and stock returns of combing,summed up the different points of view,and research by previous scholars a brief review.Secondly to build Chinese investor sentiment index,and select the consumer confidence index,the monthly number of new accounts,the discount rate of closed-end fund market,the monthly turnover,IPO number and turnover rate as the proxy variable,and then make a description of the source of the data,and finally set up Chinese market investor sentiment index using the principal components method,the composite index and Shanghai composite index monthly yield comparison chart and BW index and the S&P 500 monthly yield comparison chart found the whole trend of the two variables are roughly the same.At the end of the paper the ADF test method to determine the smoothness of the data,then use VAR model of Granger causality test,impulse response function and variance decomposition to test market sentiment and the relationship between the returns of China and the United States,and compare the empirical results.The empirical results are as follows:(1)Chinese investor sentiment and the Shanghai composite index monthly yields are Granger causality;And the market research found that the change of returns is the Granger reason for the fluctuation of American market,but the fluctuation of investor sentiment is not the cause of the fluctuation of returns.(2)The stock returns on the pulse of emotional variables,according to the results of the stock returns of a unit in most of the time for the effects of investor sentiment are positive,then there will be a reverse fixed process,but the Chinese market influence is more significant and last longer.(3)Investor sentiment on the yield of impulse response analysis shows that the Chinese market composite sentiment index impact to monthly yield positive influence is waning,then into inhibition,after stage 5 the influence gradually disappear.While the BW index impact to S&P 500 monthly returns positive effect is stable,and disappeared after stage 3.(4)The Chinese market through variance decomposition results in changes in the stock returns can be better explained by investor sentiment,and the change of investor sentiment in the United States can be better explained by stock returns. |
