An Empirical Study on Investors Sentiment Index and China’s Stock Market Return

摘要

This paper analysises the impact mechanism between investors sentiment and stock market return. With the proxiy available, a principal component analysis was used to establish an investor sentiment index, and GARCH-M models were used to evaluate how affects on stock returns from the movement of sentiment and how affects on different portfolio. Results show that investor sentiment was the systemic factor which affected stock return, and the effects to different portfolio was asymmetric. In addition, the synthesis investor sentiment index could truely reflect the investor sentiment volatility.