| Behavioral finance has broken the assumption of rational man in traditional financial theory,and introduced the concept of investor sentiment to explain the anomalies in the financial market on the basis of it.Inspired by this,this paper tries to research on the stock market returns and the stock market investor sentiment,the correlation of tail risk exploration in investor sentiment after the missing elements,the relationship between the returns and risk of stock market can be optimized,the level of investor sentiment and what kind of influence on the correlation to both.The main research object of this paper is stock market yield,stock market risk and investor sentiment.For the risk,the improved rolling history simulation method is adopted to measure the stock market tail risk.As for investor sentiment,the BW principal component analysis proposed by Baker and Wurgler is adopted to construct a comprehensive indicator of investor sentiment.Granger causality analysis was conducted on stock market return,tail risk and investor sentiment,and OLS model was constructed for regression of time series.The explanatory variable was stock market return.Then quantile regression was carried out according to the level of investor sentiment to study the correlation between stock market returns and tail risks at different levels of investor sentiment.According to the regression results of different models,the tail risk relative to the yield were significantly positive regression coefficient of stock market,as the change of investor sentiment level from low to high,in the process of tail risk regression coefficient of the first landing again rebound,present a U-shaped,and changes in the rate of income model to explain roughly the present a J shape.The main conclusions of this paper are as follows: when tail risk is used as a variable to measure stock market risk,the change of tail risk is positively correlated with the change of stock market return rate;Investor sentiment is an important missing variable in the yield model,and the level of investor sentiment can influence the correlation between tail risk and yield rate.When investors’ mood is low or high,the correlation between stock market yield and tail risk is great.When investor sentiment is high,the explanatory rate of the yield model is low.When investors are depressed,the yield model has a higher explanatory rate.According to the empirical results put forward the following Suggestions: to improve our country’s development of the security of market trading mechanism,eliminate by the mechanism of immature market,optimization and rich market participants at the same time,strengthen the role of institutional investors in the market,and weaken the noise of the small and medium-sized investors trading and enlarge the market risk and volatility of emotional investment. |
