| The development of China's stock market started late,the mechanism was not perfect,and the level of investment of participants in the market was uneven,which led to many unexplained financial anomalies.However,due to the lack of information and the limited professional level of investors in China's stock market,their investment behavior can't fully meet the requirements of the rational man hypothesis.Therefore,behavioral financiers attempt to explain the anomalies in the stock market by studying the sentiment and behavior of investors.This paper selects 2018-2019 stock data to study the explanatory power and influence of investor sentiment on stock return.By summarizing the previous studies,it is found that there is no uniform standard in the selection of indicators for the construction of comprehensive indicators of investor sentiment.Some scholars use economic indicators to construct,which are more convenient in data acquisition and can indirectly reflect the investor sentiment.Some scholars use the comments of investors on the Internet to measure investor sentiment.Compared with economic indicators,it can more intuitively reflect the mood fluctuation of investors.In this paper,we combined the two measurement methods to establish the investor's comprehensive sentiment index through the principal component method,which can reflect the current sentiment of investors more comprehensively.And through the research and comparison,the comprehensive investor sentiment index is more comprehensive than the single investor sentiment index based on the online review.Then,according to the characteristics of the financial data after the peak,this paper establishes the Bayesian quantile regression model to study the impact of investor sentiment in different periods on the stock return,Then concluded that investor sentiment has a positive impact on the stock return in the same period and the effect is very significant.However,the timeliness of investor sentiment is poor,and the influence gradually weakens with time.This indirectly reflects that the current stock price are churning.Investor sentiment also changes rapidly,which in turn affects the stock price,forming a bad cycle.In order to explore ways to reduce the noise of stock market,this paper studies whether the proportion of institutional investors will change the impact of investor sentiment on stock returns.The research shows that the increase of institutional investors' proportion can effectively reduce the noise,which especially for the stocks with a large range of changes.The increase of institutional investors' proportion can effectively stabilize investor sentiment,which is one of the feasible methods to reduce the impact of investor sentiment.At the same time,this paper also studies the factors which affect investors' different emotions.Through Bayesian quantile regression,we select the relationship between investors' bullish index and other indirect indexes,and conclude that the latest number of investors,consumer confidence index and IPO first day yield have significant impact on investors' investment emotions.It is worth noting that the short-term lag IPO first day yield has a positive impact on bullish sentiment,which indicates that there are previous IPO first day returns that will affect sentiment trend.Finally,this paper puts forward two suggestions for the government and investors.The government should strengthen supervision and guide investors to invest more rationally.At the same time,increasing the construction and supervision of investment institutions can effectively resist the risk of market speculation.For investors,who should increase professional knowledge,prevent blindly following the trend,actively collect stock market information and improve the ability to distinguish the stock information authenticity can effectively reduce trading noise.Only with the joint efforts of investors and the government can reduce the occurrence of financial anomalies and make the stock market more and more healthy. |
PDF Full Text Request