The Impact of Sentiment on Selected Stock Prices

Abstract

With the continuous development of behavioral finance, it has been found that the price fluctuations in the stock market depend not only on the economic conditions in the objective market, but also on the subjective emotions of investors to a certain extent. Based on the level of China's comprehensive investor sentiment index and the monthly stock price data of Shanghai A shares from December 2011 to November 2021, we analyze the relationship between investor sentiment and stock price by establishing a VAR model. The results show that changes in investor sentiment mostly depend on their own contributions, and will fluctuate due to changes in the stock market in the short term. Meanwhile, in a series of analyses, we can find that stock price is the Granger cause of investor sentiment.

With the continuous development of behavioral finance, it has been found that the price fluctuations in the stock market depend not only on the economic conditions in the objective market, but also on the subjective emotions of investors to a certain extent. Based on the level of China's comprehensive investor sentiment index and the monthly stock price data of Shanghai A shares from December 2011 to November 2021, we analyze the relationship between investor sentiment and stock price by establishing a VAR model. The results show that changes in investor sentiment mostly depend on their own contributions, and will fluctuate due to changes in the stock market in the short term. Meanwhile, in a series of analyses, we can find that stock price is the Granger cause of investor sentiment.