投资者情绪对股票指数回报率影响的差异分析——基于沪深300指数的实证研究

Differential Analysis of the Impact of Investor Sentiment on Stock Index Returns—Empirical Research Based on the CSI 300 Index

摘要: 本文将通过主成分分析法合成情绪因子作为投资者情绪指数，使用沪深300指数回报率，建立VAR模型探究投资者情绪分别在牛市、熊市的市场状态下对股票市场收益波动的影响差异，有利于帮助投资者在不同的市场状态下制定投资决策获得超额收益，也利于相关部门依据市场状态做出相应政策调整，稳定股票市场。

Abstract: This paper will synthesize sentiment factors as investor sentiment index by principal component analysis, use the return rate of CSI 300 Index, and establish VAR model to explore the difference in the impact of investor sentiment on stock market income fluctuations in bull market and bear market respectively, which is conducive to helping investors make investment decisions under different market conditions to obtain excess returns, and also helps relevant departments make corresponding policy adjustments according to market conditions and stabilize the stock market.