Research on Effects of Chinese Investor Sentiment on Stock Return—Study on Shanghai A-Share Market Research

Abstract

Traditional finance lacks effects of investor sentiment on the securities market research, in view of the reality of considerable volatility of Chinese stock market in recent years and the rise of investor sentiment research, this article selects the p/e ratio (PE),turnover rate(TURN) ,new accounts of assets(NOA) ,consumer confidence index (CCI)to construct investor sentiment index, By regression analysis on the Shanghai index yields on investor sentiment, investor sentiment will be significantly positive influence on the yield of the stock market; This paper tested the Fama - French three factor model and the ability of the four factor model adding the investor sentiment to explain Chinese stock market yields, which discovering the multi-factor model can better explain the changes in Chinese stock market return.