Research On The Influence Of Investor Sentiment On Stock Returns

The rapid spread of the COVD-19 since 2020 has had a serious impact on several industries in China,causing a chain reaction in the stock market.Meanwhile,with the widespread use of big data and social platforms,the use of computer technology to quantify investor sentiment on social platforms provides a methodological approach for financial studies.In view of this,this paper uses text mining techniques to extract investor sentiment indices about the epidemic by collecting text information related to the epidemic on Sina Weibo,a mainstream media in China,to investigate the impact of investor sentiment indices on stock returns at different times of the epidemic by constructing a VAR model,and to analyze the differences in the impact of investor sentiment on different sectors of the stock market.It has certain research significance for investors to understand the impact of emergencies such as epidemics on the stock market,better avoid the risks caused by major public health emergencies,and reasonably plan investment strategies.The study concludes that: i.There is a one-way Granger causal relationship between investor sentiment and A-share market returns,and this relationship exists only during the outbreak period.ii.Changes in investor sentiment cause homogeneous changes in A-share market returns,but the degree of impact varies between different periods of the epidemic.During the epidemic outbreak period,changes in investor sentiment will lead to isotropic changes in A-share market returns,and the impact can last for 7-8 periods,with an explanatory power of about 24.45%.The marginal benefits of the epidemic on the A-share market weakened,and the marginal shock effect of the epidemic on the A-share market gradually diminished.Investor sentiment had an impact on all sectors,but the extent and direction of the impact on each sector differed at different times.During the epidemic outbreak period,investor sentiment had a negative impact on the pharmaceutical industry,while it had a positive impact on the other three sectors;for all sectors,the impact was greater during the epidemic outbreak period than during the normal epidemic period;during the epidemic outbreak period,the degree of impact on investor sentiment was in the following order: agriculture> transportation >pharmaceuticals > tourism.During outbreaks,agriculture > transport >pharmaceuticals > tourism.The main possible innovations of this thesis are: first,in terms of data sources,this study uses non-numerical textual data as a data source to construct investor sentiment.The textual data is the first-hand sentiment response,which is more intuitive compared to numerical data.Secondly,in terms of time period selection,this paper analyses the impact of investor sentiment on the stock market during different periods of the new crown epidemic.As the epidemic develops,the impact of investor sentiment on the stock market varies across different periods of the New Crown epidemic.Therefore,this paper examines the impact of investor sentiment on the stock market during different periods of the New Crown epidemic.Thirdly,in terms of the selection of research subjects,this paper analyses the impact on stock markets in different sectors at different times,enriching the research in related areas to a certain extent.