DOI: 10.14704/nq.2018.16.6.1568

Influence of Investor Sentiment on Stock Returns- Analysis of A- shares in China

Ling Wang, Dalai Ma, Ling Tang, Ji Ma

Abstract


On the basis of constructing investor sentiment indexes, this paper uses linear and nonlinear Granger Causality Test respectively to study the relationship between investor sentiment and stock returns, and further studies the relationship between bull market and bear market. The results show that there are one-way linear causality and two-way non-linear causality between stock returns and investor sentiment, which indicates that there is a non-linear relationship between investor sentiment and stock returns. Under the conditions of bull market and bear market, the non-linear causality between investor sentiment and stock returns is inconsistent, which is in conformance with the actual situation of China stock market, indicating that there are a lot of irrational sentiment in China stock market, and such irrational sentiment affect stock returns.

Keywords


Investor Sentiment, Stock Return, Nonlinear Granger Causality

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