Proceedings of the 5th International Conference on Economic Management and Model Engineering, ICEMME 2023, November 17–19, 2023, Beijing, China

Research Article

Research on the Relationship between Investor Sentiment and Stock Price Change Based on VAR Model

Download69 downloads
  • @INPROCEEDINGS{10.4108/eai.17-11-2023.2342675,
        author={Jia  Chen and Qiong  Liu and Rui  Zhang and Qihan  Zhang},
        title={Research on the Relationship between Investor Sentiment and Stock Price Change Based on VAR Model},
        proceedings={Proceedings of the 5th International Conference on Economic Management and Model Engineering, ICEMME 2023, November 17--19, 2023, Beijing, China},
        publisher={EAI},
        proceedings_a={ICEMME},
        year={2024},
        month={2},
        keywords={investor sentiment; stock price; var model; impulse response analysis; growth enterprise markets},
        doi={10.4108/eai.17-11-2023.2342675}
    }
    
  • Jia Chen
    Qiong Liu
    Rui Zhang
    Qihan Zhang
    Year: 2024
    Research on the Relationship between Investor Sentiment and Stock Price Change Based on VAR Model
    ICEMME
    EAI
    DOI: 10.4108/eai.17-11-2023.2342675
Jia Chen1,*, Qiong Liu1, Rui Zhang1, Qihan Zhang2
  • 1: Harbin Institute of Technology
  • 2: Guangdong University of Technology
*Contact email: 18799226831@163.com

Abstract

In recent years, a large number of studies at home and abroad showed that speculative behavior caused by investors' emotional fluctuations in the A-share market can bring abnormal volatility to financial markets. China's GEM has a large number of retail investors, and investors tend to concentrate their irrational behavior. To deeply explore the interplay between investor sentiment and stock prices. This study constructs a comprehensive index (IS) of investor sentiment using the principal component analysis method based on the past 5 years GEM index of five sentiment indicators including one subjective sentiment and four objective sentiment. The VAR model is constructed and passed various unit root tests to provide its reliability. Using Granger causality test and impulse response analysis, the relationship and long-term dynamic effect between investors' comprehensive sentiment and GEM index closing price is discovered. The results of the study are as follows:(1) A long-term equilibrium relationship exists between investor sentiment and GEM Index price movement; (2) Investor Sentiment and GEM Index Price is Causally Related to Each Other; (3) In the short term, the responses of investor sentiment and GEM index price to each other are positive; the shock feedbacks between the two changes in investor sentiment and GEM index price the mutual impact are negligible in the long term.