Relationship between Investor Emotion Change and Stock Market Volatility
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Since the establishment of Shanghai Stock Exchange in 1990, China's stock market has made great achievements in the nearly 30 years of reform and development. However, compared with the stock market in the west, China's stock market is not mature enough either in the stock market system or in investor behavior. From the perspective of behavioral finance, this paper analyzes and studies the relationship between investor sentiment and stock market volatility. By establishing the VAR quantity model of investor sentiment index and Shanghai Composite Index, we use regression analysis to test the causal relationship between them.
Behavioral Finance; Stock Market; Investor Emotion; Investor Behavior