The Impact of Investor Sentiment on Stock Yield

Abstract

: In recent years, China's stock market has developed rapidly, but there is still a certain gap compared with western mature market. The stability of China's stock market is insufficient and the fluctuation range is large. An important reason for this phenomenon is that investors in the market are often in an irrational state, and there are a lot of irrational behaviour in the market. Therefore, this paper establishes a VAR model to study the relationship between investor sentiment and stock yield. Among them, the yield of the Shanghai Composite Index represents the yield of the stock market, and the comprehensive index of investor sentiment is constructed through principal component analysis. The results show that: (1) there is a significant interaction between stock yield and investor sentiment in China in the short term, and stock yield is less affected by investor sentiment than the investor sentiment is affected by stock yield. (2) with the passage of time, the impact of investor sentiment on stock yield gradually decreases.