An Empirical Study Of The Influence Of Investor Sentiment On Stock Price Synchronization

In recent years,China’s capital market has developed rapidly,but there is still a long way to go compared with the maturity of capital markets in western developed countries.In some respects,the Chinese stock market still cannot meet the effective market assumptions of traditional finance.One of the most noteworthy points is the high stock price synchronicity in China’s stock market.The stock price synchronicity is often referred to as the “same rise and fall” phenomenon,which refers to the correlation between individual stock price volatility and market average volatility.China’s high stock price synchronicity means that the company’s trait information is less incorporating into asset pricing,in other words,for investors,the quality of such price information appears to be low.China’s higher level of stock price synchronicity further narrows the trait difference between listed companies,reduces the value of stock prices to individual companies,screening and feedback functions,and weakens the effectiveness of corporate signal transmission,which not only indicates a comparison low market efficiency also weakens the resource allocation function of the Chinese stock market price mechanism.Only by understanding the formation mechanism of stock price synchronicity can we solve this problem based on China’s actual situation.However,does low stock price synchronism really indicate high information efficiency? For the formation mechanism of stock price synchronicity,the academic circles are mainly divided into "information efficiency view" based on trait information and "irrational behavior view" based on behavioral finance.In the Chinese stock market,where individual investors account for the majority,and individual investors are generally not rational enough in emerging markets,the “irrational behavioral view” based on behavioral finance is obviously more attractive.This paper first reviews domestic and foreign literature on investor sentiment and stock price synchronicity,and analyzes the mechanism of investor sentiment and stock price synchronicity.On this basis,select China A shares from April 2008 to September 2017.Monthly data of non-financial listed companies,using partial least squares method to construct investor sentiment indicators,through the fixed effect model of panel data,study the relationship between stock price synchronicity and investor sentiment,empirically find investor sentiment and stock price synchronicity There is a significant negative correlation,and from the perspective of the full sample,the increase in institutional shareholding and information transparency will strengthen the negative correlation between investor sentiment and stock price synchronicity.However,in the further exploration of the bear market and the bull market,this strengthening relationship will be reduced or reversed.At the same time,the article finds that there is not a simple linear relationship between investor sentiment and stock price synchronicity,but an inverted U-shaped feature,which indicates that there is a certain “asymmetry” in the formation mechanism of stock price synchronicity under different market situations.It is necessary to combine the information asymmetry and psychological factors that affect stock price synchronicity to make a new interpretation.From this perspective,reconciling "information efficiency view" and "irrational behavior view",combining with the characteristics of short bulls and long bears in Chinese stock market,this paper tentatively expounds the influence mechanism of investor sentiment on the synchronization of high stock prices in Chinese stock market.