Does Investor Sentiment affect Stock Return: Evidence from Chinese Industry Index in Shanghai A Share Market

Xiaochen Wang

《World Scientific Research Journal》 7卷5期 (2021/05) Pp. 181-196

https://doi.org/10.6911/WSRJ.202105_7(5).0020

摘要

In stock market, some of characteristics of asset pricing behavior of traditional financial theory didn't work, behavioral finance otherwise provides a new method and aspect to interpret these visions. Investor behavior which is influenced by investor sentiment plays an important role in stock market, irrational behavior may lead to market inefficiency, and stock return is a reflection of the market condition, hence studying the effects of investor sentiment on stock return is meaningful. This paper mainly studied investor sentiment whether and how affects stock return, as well as applied other six control variables a share market stock return, Dow Jones Industrials index return, interest rate, exchange rate, crude oil price and gold price which could affect stock return in previous studies. To detect the effects this paper first investigate bullish investor sentiment and then applied multiple regression linear model to find investor sentiment positive significantly affects stock return in nine industries. This study provided a new perspective to explore the characteristics between investor sentiment and stock return, also presented new ideas for investors' investment practices in stock market.

關鍵字

Investor Sentiment ； Stock Return ； Regression Model

參考文獻

Angelidis, T., Benos, A., & Degiannakis, S., (2007). A robust VAR model under different time periods and weighting schemes. Rev Quant Finan Acc. 28, 187-201.

Dungey, M., & Pagan, A. (2000). A Structure VAR Model of the Australian Economy. Economic Record, 76(235), 321-342.

Glejser, H. (1969). A New Test of Heteroskedasticity. Journal of American Statistical Association, 64, 314-323.

Huang & Yang (2000). Causality and Cointegration of Stock Markets among the United States, Japan and the South China Growth Triangle. International Review of Financial Analysis, 3(9), 281-297.

Hung, K. C., & Ma, T. (2017). Does Monetary Policy Have any Relationship with the Expectations of Stock Market Participants. Journal of Multinational Financial Management, 39, 100-107.