Research On The Impact Of Investor Sentiments On The Performance Of Securities Investment Funds

The existence of many financial anomalies in the market indicates that the financial market is an ineffective market,yet nearly efficient.In comparison to developed capital markets in Europe and the United States,China’s capital markets are still developing rapidly,and investor sentiment is more significant in them.There is a dearth of research on discussing the influence which is investor sentiments effect the funds’ performance,cause majority of the existing literature on investor sentiment has focused on incorporating sentiment into pricing models.Based on behavioural finance theory,this paper selects a TVP-VAR model to analyse the direct and indirect effects of investor sentiment on the funds’ performance from the viewpoint of real market economic variables moving over time,to investigate the time-varying characteristics of investor sentiment on the performance of different types of funds in the short,medium and long term,and to discuss the asymmetric characteristics of investor sentiment on the performance of types of funds in two opposing market states:bull and bear.The asymmetric characteristics of investor sentiment on fund performance are discussed in two contrasting market states:bull and bear.Based on the existing literature,this paper examines the applicability of commonly used proxies for investor sentiment in the context of China’s specific situation,selects sentiment proxies that are applicable to the specific situation of China’s capital market,and performs principal component analysis on these proxies to form a comprehensive index that can accurately reflect investor sentiment in China.Based on the non-parametric test method in Matlab,this paper set the conditions to divide the whole period into several bull and bear period,which was sub-sample to the whole period,and the investor sentiment indices for each sub-sample period are constructed to test the robustness of the indices.-Based on the analysis,several TVP-VAR models are set up to Discuss the impact of investor sentiment on the performance of different types of equity funds under direct and intermediary paths,find out the effects and comparison of investor sentiment on the performance of different funds in three representatives period of time:short,medium and long run,and study the effects and similarities and differences of investor sentiment on the performance of different funds in two contrasting market states:bear and bull markets.According to the findings of the study,the influence of investor sentiment on the different funds’ performance has time-varying and asymmetric:first,positive investor sentiment does not necessarily benefit to the performance of portfolio funds,and this effects remains negative after 2016;second,with short-term market in The effect of investor sentiment on star funds is somewhat more subdued than that of bottom funds,and investor sentiment has a positive optimising effect on their returns due to the pursuit of rankings by fund managers and investors.Thirdly,overall,the effects of investor sentiment on the funds’ performance have a significant impact in the short term,with no significant delay or lag.Fourth,the effect of investor sentiment on the funds’ performance which have different portfolio is not symmetrically characterised in theory at both bull and bear market points,while negative shocks are stronger in bear markets and longer lasting in bull markets.