Research on investor sentiment effect on A-share market in China based on analysis of A-share materials

Abstract

According to daily and weekly data of account open rate as well as stock market returns, we set a vector auto-regression model to make a study on the effect of investor sentiment change on Shanghai and Shenzhen stock markets. The result shows: investor sentiment has greater effect on Shenzhen stock market than on that of Shanghai, and its effect on stock market is greater in the long run than in short term. Besides, volatility of account open rate is the Granger reason of the yield volatility of Shanghai and Shenzhen 300 index, Shanghai A-share index, and Shenzhen A-share index; while vice versa, that depends on different time limits. © 2011 Springer-Verlag Berlin Heidelberg.