An Empirical Study On The Relationship Between Investor Sentiment And Shanghai Stock Index

The 19 th National Congress of the People's Republic of China pointed out the new direction of China's financial development,"deepening the reform of the financial system and promoting the healthy development of multi-level capital markets.The two-pillar regulatory framework for monetary policy and macro-prudential policies has been strengthened,and the bottom line of systemic financial risks has not been guarded." The market plays an increasingly important role in the economic operation.The stock market has developed late in China.The rules and regulations in various aspects are still not perfect,which not only increases the risk of investors,but also seriously affects the efficient allocation of funds.Emotional investment behaviors such as “blindly follow suit”,“catch up and sell down”,and “excessive trading” are common in the stock market,and this behavior has a huge impact on the stability of the stock market and even the entire financial market.Therefore,researching investor sentiment has profound theoretical and practical significance on the market returns and fluctuations of the Shanghai index market.This article takes the return rate of the stock market from January 2011 to December 2017 as a sample,a total of 358 valid data,and selects five variables with representative significance: the weekly trading volume of the broader market,the price-earnings ratio,the number of new accounts opened per week,Shanghai Interbank Offered Rate(7 days)and Baidu Index represent the ideas of dominant variables,implicit variables,and sentiment analysis of online texts.An investor sentiment index was constructed through principal component analysis and verified by a correlation test that was in line with the reality of China's market index.The Granger causality test and the VAR model were used to verify the causality and dynamic relationship between the two.The empirical results show that the return rate of the Shanghai index is the Granger cause of the volatility of the investor sentiment index,and that the Shanghai index has a dynamic positive effect on investor sentiment,and the investor sentiment lagging behind in the first phase has the greatest impact on the stock market return.Gradually decreased over time.Therefore,when investors formulate investment strategies,not only should the company's fundamental indicators be taken into account,but they should also be used as an important reference variable.The market supervision department should regulate the information disclosure status of listed companies,gradually increase the education and knowledge popularization for small and medium-sized investors,and reduce speculation in the market.Prevent systemic risks in the financial market caused by abnormal fluctuations in investor sentiment.