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

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.

在股票市场中，传统金融理论关于资产定价行为的部分特征不再适用，而行为金融学则为解释此类现象提供了全新的研究方法与视角。受投资者情绪影响的投资者行为在股票市场中扮演着重要角色，非理性行为可能引发市场非有效性，而股票收益是市场状况的直观反映，因此探究投资者情绪对股票收益的影响具有重要学术与实践意义。本文主要研究了投资者情绪是否以及如何作用于股票收益，同时引入六类控制变量，即A股市场股票收益、道琼斯工业平均指数收益率、利率、汇率、原油价格与黄金价格——此类变量在既往相关研究中均被证实会对股票收益产生影响。为验证相关影响机制，本文首先考察了乐观投资者情绪，随后采用多元线性回归模型，发现投资者情绪对九个行业的股票收益均存在显著正向影响。本研究为探索投资者情绪与股票收益之间的关联特征提供了全新视角，同时也为股票市场参与者的投资实践提供了新思路。