| The People’s Bank of China issued the “Fintech Development Plan(2022-2025)” on January 4,2022.Fintech,represented by big data,cloud computing,artificial intelligence and blockchain,has become a new engine to promote financial upgrading and highquality financial development.Fintech can effectively solve the information asymmetry between financial institutions and their users,match the multiple financial needs of users and enhance the inclusiveness of the financial system.While Fintech enables the general public to enjoy convenient financial services,it also lets many lacking professional financial experience and knowledge investors whose subjective risk preferences and objective risk tolerance do not match directly attend the financial market.These investors are more susceptible to investor sentiment,showing irrational characteristics and leading to mass incidents.On the other hand,Fintech has made enormous transformations in the information environment of the financial market,and the transformations in the information environment will alter the way investors’ expectations are formed,then this will inevitably cause variations in investor sentiment,affecting investors’ behavioral and ultimately lead to stock price moves.In the financial market,investor sentiment is generally defined as biased expectations of investors who are too optimistic or pessimistic about the stock market’s future cash flows or discount rates,which is an irrational factor that can cause systemic risk.At present,there is much literature about the impact of investor sentiment on stock market returns,but they mainly focus on taking investor sentiment as a pricing factor and then studying its impact on the overall market or price changes of different characterized stocks,meanwhile,there is a lack in considering the context of Fintech.Through constructing a comprehensive and sub-attribute Fintech index this dissertation introduces Fintech development as a background to the research of investor sentiment and stock market returns,thus I can clarify the impact of Fintech on investor sentiment and can find out whether investors are more rational or irrational under the context of Fintech.Constructing a reasonable Fintech index is the basis for analyzing the role of Fintech.Different scholars have adopted different indexes to measure the Fintech level,but there are drawbacks in sample interval and sample period between these indexes.The information and search indexes in Baidu can be used to track the current situation and predict trends.This dissertation constructs an exclusive lexicon consisting of 164 Fintech keywords,then crawling the keywords’ Baidu index,I total get 1,797,276 Baidu indexes from January 1,2012,to December 31,2021,finally by using the entropy weighting method to synthesize a Fintech index that comprehensively reflects the level of Fintech development.As a technology driven financial innovation,Fintech includes both the innovation of financial products and services brought by Internet technology and the application of information technology innovation in finance,so Fintech contains both technological and financial attributes.However,previous research only focused on the overall impact of the development of Fintech.In order to explore whether the development of different Fintech attributes will lead to different rational characteristics of investors,this dissertation first subdivides Fintech into two sub-attributes: model innovation and technology innovation according to the financial function and underlying technology logic.Then this dissertation divides the Fintech exclusive lexicon into Fintech model innovation sub-lexicon and Fintech technology innovation sub-lexicon to construct the Fintech model innovation index and the Fintech technology innovation index respectively.Based on the constructed Fintech index,exploring whether investors are more rational under the context of Fintech requires an accurate measure of irrational investor sentiment,which is not directly observable.In order to better explain the impact of investor sentiment on stock market returns movement,this dissertation draws on Verma(2006)and Huang et al.(2015)by using the partial least squares(PLS)method to extract investor sentiment indices from the number of newly opened accounts,fund discount rate,turnover rate,realized volatility and consumer confidence index with macro-rational expectations removed.While comparing it with the investor sentiment constructed by principal component analysis(PCA),I find that the PLS investor sentiment indices better portray that investor sentiment has a persistent negative influence on future stock market returns.This dissertation empirically finds: 1)Introducing Fintech as a background to the model of investor sentiment and stock market returns,Fintech amplifies the impact of investor sentiment on stock market returns in the short term,but in the long term,Fintech accelerates the correction of the impact of investor sentiment on stock market returns.This implies that the overall development of Fintech drives investors more irrational in the short term but more rational in the long term.2)Using the sub-divided Fintech index,Fintech model innovation amplifies the impact of investor sentiment on stock market returns in the short term,and the long term correction effect is weaker compared with the comprehensive Fintech index,while Fintech technology innovation corrects the impact of investor sentiment on stock market returns in both the long and short term.This indicates that Fintech makes investors more irrational in the short term is caused by Fintech model innovation,but Fintech technology innovation always makes investors more rational.Thus,this dissertation advice that we should include the different attributes of fintech in the investigation,particularly,we need to attach great importance to the supervision of fintech model innovation.We can vigorously support the application of fintech technology innovation,give full play to the ability of fintech technology in constructing channels,so that investors can obtain more comprehensive and accurate financial information and better financial services,and rationally attend the capital market. |
