Research On The Correlation Between Investor Sentiment And The Volatility Of China's Stock Market

Since the establishment of Shanghai Stock Exchange and Shenzhen Stock Exchange in China,the macro-economy has been running smoothly,but the "stock market disaster" has appeared many times.On the contrary,there are few such violent fluctuations in the European and American stock markets in the same period.This shows that the stock market under the special national conditions of our country can not apply the theoretical framework of traditional finance,and the behavioral finance which has emerged in recent years can give a new perspective to cause stock market anomalies.Reasons for fluctuations.Behavioral finance points out that investor sentiment is another major factor affecting asset prices besides the intrinsic value of stocks.Based on the previous literature,this paper considers that there is a certain relationship between the abnormal fluctuations of stock market and the changes of investor's sentiment.Therefore,the study of investor's sentiment can make a deep analysis of it and the fluctuations of stock market,prove the correlation between them,and provide some reference value for the follow-up study of the impact mechanism between them.Firstly,through the analysis of relevant literature and theories at home and abroad,learning from the previous research methods,this paper analyses the characteristics of investor sentiment in China's stock market.Among them,a case study of CITIC securities irregularities is selected to analyze the reaction of investor sentiment market.Then,based on the special characteristics of investor sentiment in China,the paper constructs the index of investor sentiment agency,and draws the conclusion of sentiment.Finally,the correlation analysis and model test between SSM index and Shanghai Composite Index are carried out.In the empirical analysis,this paper chooses the market data from 2010.10 to 2018.10 for analysis.From the point of view of market operation,there are both bull and bear markets and shocks and rebounds during this period,so we can establish a complete and comprehensive agent index that can reflect the national conditions of our country.Empirical results show that the constructed emotional agency index is significantly correlated with the Shanghai Composite Index.After considering the impact of macroeconomic factors,it is found that the index has the greatest impact on the volatility of the stock market,so the index constructed has a certain practical value,and can put forward effective suggestions for improving the stock market in China.