Empirical Research Between Emotion And The Returns Of’ Different Stocks

Recently,behavioral finance is a hot problem in the financial community,which studies systematically of the investors who under the hypothesis of irrationality that makes the investing decision.The study of investor’s sentiment is an important area in behavioral finance,which refers to the effect of investor’s irrational mental activity on the stock.Currently,although there are many researches between investor’s sentiment and stock returns,there is still a lack of research between investor’s sentiment and different characteristics of stocks.So,this article selects the shenyin wanguo style indexs which have 15 kinds as the the stocks of diff-erent characteristics and study how the investor’s sentiment affects them.This article selects the investor’ s speculative theory,the positive feedback theory and the herd behaviour theory as its basic theories,which discusses detailedly why the investor’s sentiment and positive or negative sentiment show different effects to them.before empirical test,this article introduces the current measurment of the investor,s sentiment and uses the principal component analysis method to build them.In the process of empirical test,using EGARCH(1,1)model to test the different effects about the investor’s sentiment show to them,including sensitivity and the effects of stock returns’volatility.Then using the virtual variable model to test how the investor’s positive and negative sentiment affect them.In terms of yield,the investor’ s sentiment and positive sentiment have a positive impact on them,but the sensitivity is different,the negative sentiment’s ef-fects to them are not significant.In terms of earnings volatility,most of them still show ’the asymmetric effect’,which illustrates that there exist other important factors that affect it.After empirical test,this article puts forward how to ease the irrational impact the sentiment shows to China’s capital market,including how to consummate the education system of investors,how to perfect the information disclosure system of listed companies,etc.