Study On The Impact Of International And Domestic Investors' Sentiment On Chinese Stock Market Returns

With the development of financial globalization,the relationship between the Chinese stock market and the international stock market has become increasingly closer.The gains in the Chinese stock market are not only affected by domestic investor sentiment but also by international investor sentiment.Therefore,this article focuses on the impact of international and domestic investor sentiment on the returns of China's stock market.First,the paper selects sample data from 2001.01 to 2016.12,and selects IPOs,VOLs,and Turnovers for IPOs in six countries and regions in China,the United States,Japan,the United Kingdom,Germany,and Hong Kong,China.The number of new accounts opened(NIA),market price-earnings ratio(PE),and consumer confidence index(CCI)were added to the index,and the total investor sentiment indicators of six countries and regions were constructed,followed by the main component analysis method for six countries.The regional investor's overall investor sentiment was reduced to get international investor sentiment indicators.Finally,China's total investor sentiment and international investor sentiment were regressed to obtain Chinese domestic investor sentiment indicators.Secondly,by using Granger causality,impulse response analysis,variance decomposition and other methods to study the impact of international and domestic investor sentiment on China's stock market.The research results show that international investor sentiment can significantly affect China's stock market return,while China's stock market returns have no significant impact on international investor sentiment.Local investor sentiment can influence China's stock market return,and Chinese stock market returns also have a significant impact on local investor sentiment.Then,through the use of multiple regression methods,we examined whether international and domestic investor sentiment has a significant effect on the returns of China's stock market.The research results show that the Chinese stock market's earnings are obviously affected by the sentiments of international and local investors.However,from the empirical analysis results of the regional molecular sample-private share reform before the reform of the shareholding system,before the equity share reform,the returns of the Chinese stock market are mainly affected by the sentiments of local investors;The stock market gains are influenced by both international sentiments and local sentiments.In addition,this article also examines the influence of international investor sentiment,domestic investor sentiment,and Chinese stock market return from the perspective of different company scales.Local investor sentiment has been found to be significant for companies of all sizes,while large-scale companies are more susceptible to international investor sentiment than small-and medium-sized companies.The returns of small and medium-sized enterprises are more susceptible to changes in the mood of local investors.Finally,by selecting new emotional proxy variables,we reconstruct the international and domestic investor sentiment indicators.The robustness test was conducted on the relationship between international and domestic investor sentiment and China's stock market return.The results of the study confirm the previous conclusions again.