Research On The Weather Effect And Its Transmission Mechanism Of China's Stock Market

Traditional financial theory holds that people's decisions are based on assumptions such as rational expectations,risk aversion,utility maximization,and camera selection.That is,investors are "rational people" and the market is completely effective.However,a large number of psychological studies have shown that people's actual investment decisions are not the same,and people's behavioral decisions in financial markets can be significantly influenced by cognitive and emotional factors.Behavioral finance reveals a fundamental flaw in the neoclassical tradition of economics and finance—the complete rational hypothesis that participants in the market are not completely rational,they are just quasi-rational or limited rational people,and therefore cannot The human factor is only excluded as a hypothesis,the behavioral analysis should be included in the theoretical analysis,and the theoretical research should turn to "what actually happened" to guide decision makers in making the right decisions.China's securities market is an emerging market and is not yet mature in many aspects.A prominent problem at present is excessive speculation,and the main reason for its emergence is the irrational behavior of many investors.The traditional view is that small and medium-sized investors in China account for the majority of investors.Their decision-making behavior largely determines the development of the market,and they appear as vulnerable groups.The irrationality of their decision-making behavior has led to serious The market is unstable,but in recent years,the scale of institutional investors in China has developed rapidly.At the same time,with the landing of Hong Kong and A shares being officially included in the MSCI index,the internationalization of A shares is accelerating,and foreign institutional investors are becoming A.An important force in the stock market.The main purpose of this paper is to apply the emerging theory of behavioral finance to China's securities market,to explore the relationship between weather sentiment changes and China's stock market volatility,and the internal mechanism of this relationship,that is,whether institutional investors have conducted weather pairs.The impact of the stock market.First,this paper studies weather variables(temperature,humidity,visibility,wind speed,barometric pressure,weather conditions)and auxiliary variables(seasonal mood disorder,January effect,Monday effect)on stock market variables(yield,turnover,volatility).The effects of simple linear regression and GARCH(1,1)model empirical analysis,in which GARCH(1,1)model regression results are more ideal.At the same time,in order to consider the asymmetric correlation between weather variables and auxiliary variables on stock market variables,the EGARCH(1,1)model is constructed.The results show that the factors affecting the stock market's return rate are temperature,January dummy variable,seasonal emotional disorder variable.It can be seen that the yield is not affected by the weather and other variables;the factors affecting the stock market turnover rate are humidity,visibility,Pressure,weather conditions,January dummy variables,Monday dummy variables,seasonal mood disorder variables;variables affecting stock market volatility are humidity,visibility,barometric pressure,January dummy variables,seasonal mood disorder variables.It shows that the change of investor sentiment has little effect on the changes in asset pricing,but it significantly affects the trading behavior and decision-making of investors.Then,based on the empirical evidence of the stock market weather effect,this paper puts forward the hypothesis of the mechanism of "emotion-institutional investor-stock market",and analyzes the mediating effect of institutional investors by analyzing the stock market turnover rate.In the first aspect,variables such as weather that have a significant impact on turnover rate are analyzed separately.The results show that in visibility-institutional investors-handover rate,barometric-institutional investors-handover rate,seasonal sentiment disorder-institutions In the investor-change rate mechanism,the SSE Fund Index is a significant proxy for institutional investor sentiment changes,with mediation effects of 25.13%,15.47%,and 15.45%,respectively.On the other hand,the entropy method is used to construct the comprehensive sentiment index of variables such as weather,and the mediating effect of institutional investors in the comprehensive sentiment index-institutional investor-handover rate mechanism is analyzed.The results show that the SSE fund index is also significant as a mediator variable.The median variable effect is 24.92%.Through two aspects of empirical analysis,it shows that the trading behavior of institutional investors in China will be affected by the emotional changes brought by the weather and seasonal emotional disturbance variables.Because domestic scholars regard some irrational behaviors in China's stock market,such as weather effect,January effect,and herd effect,all regard investors as a whole.Few articles discuss the influence mechanism behind the effect.This article is In addition to this aspect,the research in this paper will help to deepen the understanding of the weather effects of the stock market,and provide reference for institutional investors' transactions to help understand their trading behavior.This paper has important theoretical and practical significance.