The Measurement Method of Investor Sentiment and Its Relationship with Stock Market

Investor sentiment is a hot topic in behavioral finance. How to measure investor sentiment? Is the influence of on stock market symmetrical? That all we need think about. Therefore, this paper firstly selects five emotional proxy variables and constructs an composite index by principal component analysis. Secondly, MS-VAR model employed study dynamic relationship among sentiment, returns, volatility. Using MSIH (2)-VAR (2), found that volatility different regimes. The results orthogonal cumulative impulse response analysis showed shock has significant impact bullish significantly higher than bearish market. returns relatively significant. effects returns. Overall, asymmetric; is, regimes market, different. Realizing this, investors can better understand grasp guiding their own investment behavior. Other researchers also further measurement basis guide investors’