Investor Sentiment,Stock Market Volatility And Stock Market Liquidity

When the stock market is abnormal,significant changes in investor sentiment,large fluctuations in stock market volatility and drastic changes in stock market liquidity often exist at the same time and are hard to be separated.In the 2015 stock market disaster,thousands of stocks fell and stopped,investors were extremely panicked,they did not have confidence to buy stocks,the liquidity of the stock market was seriously deficient,and the market failed.When the mood changes,herding makes the stock price distorted and the volatility changed,and the volatility of the stock market will also react on the mood.It transmits the price information of the stock market,and the wealth effect makes the mood changed,and the interaction of the two leads to the constant change of the two.At the same time,the changes of sentiment and volatility deeply affect the changes of stock market liquidity.High or low sentiment causes the phenomenon of rushing up or coaxing down.The continuous changes of stock price form the significant fluctuation of stock market,which will change the liquidity of stock market,and the large changes of stock market liquidity directly reflect the abnormal signals of stock market.Therefore,it is necessary to study the mechanism between emotion and volatility,and the mechanism of emotion and volatility convection to prevent the abnormal occurrence of stock market and maintain the healthy development of stock market,and the effect will change with the passage of time,while the relevant research is relatively less.In order to clarify the specific mechanism of action in different periods,this paper will start from the above two aspects Research on allaspects.In order to prevent the occurrence of financial bubbles,prevent and defuse financial risks,and promote the healthy development of the stock market.This paper uses the monthly data from January 2003 to December 2019 to study,and constructs the indicators of investor sentiment,stock market volatility and stock market liquidity by principal component analysis,GARCH model and turnover rate.Among them,sentiment selects five proxy indicators for principal component construction;volatility first uses ARMA model to eliminate the autocorrelation of logarithmic rate of return sequence,then establishes GARCH model,and finally extracts the standard residual as the representative;liquidity proxy indicators select turnover rate.After the three indicators are established,tvp-var model is used to analyze the impulse response results of different lag periods and different time points from the two perspectives of the impact between investor sentiment and stock market volatility,and the impact of investor sentiment and stock market volatility on stock market liquidity.It is found that: in different lag period,the impulse response function curve of emotion and volatility interaction is different,and they influence each other but have asymmetry;in different lag period,the impulse response function curve of emotion and volatility convective mobility is basically above 0 line,and both of them promote liquidity,and the short-term effect is stronger than the long-term effect.Compared with the pulse response images of each lag period,the effect of emotion convection is stronger than that of volatility convection.The conclusion of the study is that there is an asymmetric effect between investor sentiment and stock market volatility.In different periods,the effect is different.In the short term,most of them are positive.In the middle and later periods,the effect of investor sentiment on stock market volatility is mainly negative,while the effect of stock market volatility on investor sentiment is still positive;investment Both investor sentiment and stock market volatility have a positive impact on stockmarket liquidity,and both of them have a long-lasting impact.The impact of one-year period still exists,and the short-term impact is more significant than the long-term impact.For stock market liquidity,the influence of investor sentiment is greater than that of stock market volatility.According to the conclusion,some suggestions are put forward in the end.