Research On The Influence Of Investor Mood Fluctuation On Stock Market

The scale of China's stock market continues to expand,the proportion of individual investors participating in stock trading is increasing year by year,and the irrational trading behavior in the stock market is becoming more and more obvious.Overconfidence and noise trading sentiment affect the stability and development of financial market to a certain extent,therefore,it is increasingly important to explore the impact of investor sentiment on the stock market.This thesis selects the investor sentiment agency index suitable for China's stock market environment,and constructs the investor sentiment comprehensive index by using principal component analysis under the premise of proposing macroeconomic impact.Based on the comprehensive index of emotions,this thesis constructs the important core explanatory variable of this study,the investor sentiment volatility index(VCISI),selects the Shanghai Composite Index to represent the overall market situation of China's stock market,and uses the transaction price shock(TPI)as the illiquidity of the stock market.The proxy indicator,which reflects the percentage change of the transaction price brought by each unit turnover rate,so the smaller the TPI,the greater the liquidity of the stock.Based on the hypothesis research,the linear regression model,EGARCH model and threshold model are constructed to empirically analyze the relationship between investor sentiment fluctuation and stock market return and its volatility and liquidity.After research,it is found that investor sentiment volatility has a positive impact on the yield of the Shanghai Stock Exchange,and negatively affects the trading price shock of illiquid indicators(mood swings positively affect market liquidity).The greater the mood swing,the greater the risk.The stock market volatility brought by the good news in the market is greater than the stock market volatility brought by the same bad news.In addition,the impact of investor sentiment volatility on stock market returns and liquidity during periods of high sentiment is more pronounced than during periods of low mood.At the same time,by studying the liquidity of the stock market,it is found that the weakening of stock market liquidity is related to the sensitivity of financial investors to information identification in the stock market.The impact of investor sentiment fluctuation on stock market liquidity will be weakened by margin financing and securities lending.Combined with the conclusions of empirical research,this thesis finally proposes corresponding countermeasures for how to regulate the influence of investor sentiment on the stock market.First,researchers need to design and establish an investor sentiment early warningmechanism to provide guidance for monitoring the stock market.Second,investors should be strengthened to manage and educate to avoid blind investment due to emotionalization.Finally,the regulatory authorities need to strengthen market control.Stabilize investor sentiment.