Research On The Impact Of Investor Sentiment On The Return Rate Of Semiconductor Sector

In traditional financial theory,investors are assumed to be rational,but whether it is a mature market in a developed country or an emerging market in a developing country,investors are not completely rational,and there are a lot of irrational investor sentiments.In addition,there are also differences in investor sentiment between different industry sectors in China.Therefore,unlike previous studies on the entire stock market,this article focuses on the semiconductor sector that has attracted a high degree of capital attention in recent years and is developed by the country to build investors.Sentiment index,to study its impact on the yield of the semiconductor stock index.This article combs the domestic and foreign academic circles on the definition and construction of investor sentiment and the relationship with stock returns.On this basis,the semiconductor sector is selected for monthly trading volume,turnover ratio,price-earnings ratio,price-to-book ratio,volatility and The six indicators of the consumer confidence index are used to construct the comprehensive index of investor sentiment in the semiconductor sector through two principal component analysis methods,and the validity of the index construction is verified by examining the fit between SENT and the BW index and the semiconductor sector stock index.In the empirical part,this article selects the monthly stock index return rate of the semiconductor sector as the dependent variable and SENT as the independent variable to construct a VAR model.Examine the relationship between the two after excluding the influence of macro-control variables.The conclusions of this article are as follows: The comprehensive investor sentiment index SENT of the semiconductor sector constructed by the use of the semiconductor sector proxy indicators is effective in a practical sense.It has a high correlation with the trend of the sector's stock indexes,and at the same time,it also has a strong correlation with the Shanghai BW index at different stages.Certain correlations are in line with market reality.In the estimation results of the VAR model,the yield of the semiconductor sector is most affected by investor sentiment lagging one period.Granger causality test results show that,in the case of lagging 5 steps,there is a two-way causal relationship between investor sentiment and sector returns,and investor sentiment has a stronger impact on sector returns.Judging from the impulse response function graph,the upsurge of investor sentiment will act on the change of yield relatively quickly,making it also have a relatively strong impact,but at the same time the impact will also quickly cool down and produce a slight reverse inhibitory effect.According to the decomposition of variance,it can be seen that investor sentiment has a strong interpretation of industry yield,while industry yield has a weak interpretation of investor sentiment.After deriving the comprehensive index of investor sentiment in the semiconductor industry,SENT,the investment strategy constructed based on this is helpful to increase the rate of return,and also makes the research results of this article have certain practical significance.