Policy Uncertainty,Investor Sentiment And Stock Returns

For more than 20 years,China's securities market has gone from scratch to growth.Looking at the development process of China's securities market,we have made great achievements.But compared with the Euromerican securities market,it is still not mature enough.Based on the two characteristics of China's securities market,"policy market" and "news market",this paper analyzes the relationship between the uncertainty of economic policy,investor sentiment and stock return rate among the three.Help regulators and policymakers can more accurately predict the impact of policy launch and investor sentiment on the stock market and do a good job of prevention.Study on the process of policy uncertainty,this paper studies the time series on the level of policy uncertainty on the current stock price and the expected rate of return,and then build the dynamic combination of investment according to the sensitive degree of policy uncertainty,policy uncertainty analysis of cross section of impact on stock returns.In the process of investor sentiment research,principal component analysis is carried out according to 5 different investor sentiment agency indicators in the current and lags one stage.After correcting and eliminating the influence of macroscopically fundamentals,the investor sentiment comprehensive index is constructed.First,we study the impact of investor sentiment in the current period,lagging 1 and 12 periods on stock returns to measure whether investors' short-term and long-term effects on stock returns are different.Then,based on the different sensitivity of investor sentiment,the dynamic portfolio is constructed to analyze the cross section effect of investor sentiment on stock returns.In the study of the common influence of policy uncertainty and investor sentiment on stock returns,we first judge the relationship between policy uncertainty and investor sentiment,and then control the influence of policy uncertainty and investor sentiment on stock returns after controlling the Fama three factor.The final conclusions are as follows:(1)the policy uncertainty is negatively related to the stock returns,that is,when the policy instability is large,the stock returns are reduced;the more stable the policy state is,the higher the stock return rate is.(2)the investor sentiment has a positive impact on the stock return,that is,the higher the investor's mood,the higher the return rate of the stock;the stock return is reduced when the investor's mood is in the depressed state.(3)policy uncertainty does not affect stock returns through investor sentiment.However,policy uncertainty and investor sentiment can serve as another explanation factor besides the three factor.(4)companies with small market capitalization are more sensitive to policy uncertainty and investor sentiment than those with large market capitalization.(5)firms with higher book value ratios are more sensitive to policy uncertainty.