An Empirical Study On The Influence Of Investor Sentiment On Blue Chips Returns

Since the establishment of the stock exchange,Chinese securities market has achieved rapid developmexnt,but conpared with mature foreign markets,Chinese securities market is not perfect in terms of laws,regulations and trading mechanisms.At the same time,the investor sentiment is easily affected by the grapevine,speulation and so on,consequently,the investment decisions of investors are no longer rational.The spread of irrational emotions,eventually leading to stock price vo-latility.Traditional finance theory does not explain this problem Under this circumstance,behavioral finance developed,more and more scholars have discovered the existence of investor sentiment and helped them explore the causes of financial visio.At present,investor sentiment is an important research topic in behavioral finance research.Scholars have conducted in-depth research on investor sentiment from the perspective of investor sentiment and its impact on stock returns.Abnormal fluctuations are explained.The research on investor sentiment is conducive to the optimization and inprovement of Chinese securities market.This paper combs the domestic and foreign investors'definition of investor sentiment and the relationship with stock returns,and innovatively considers blue chip stocks as the research focus,and analyzes the impact of investor sentiment on blue chip stocks.By selecting the trading volume,price-earnings ratio,turnover rate,new investors and investor confidence index of some blue-chip stocks as the index,the investor sentiment index was constructed by principal component analysis,and the constructed investor sentiment index was processed.Excluding the impact of macro-factor industrial added value,household consumption index and macroeconomic index,the investor sentiment index was improved.Then use the VAR model to explore the impact of investor confidence index on the return of the blue chip index.The research results show that the transaction volume,price-earnings ratio,turnover rate,new investors and investor confidence index are positively correlated with investor sentiment,in orther words,the greater the value of the above five agency indicators,the higher the investor sentiment.At the same time,it is found that there is no two-way causal relationship between investor sentiment and blue chip stock returns.The influence of investor sentiment on blue chip stock returns is not significant,and the impact of stock returns on investor sentiment is significantThe research in this paper will help investors make correct investment decisions and reduce the problem of overconfidence caused by information asymmetry,and provide some reference significance to a certain extent.