Research on the impact of investor sentiment on stock market returns based on VAR and EGARCH

doi:10.3785/j.issn.1008-9497.2023.04.007

Journal of Zhejiang University (Science Edition)

2023, Vol. 50

Issue (4): 434-441 DOI: 10.3785/j.issn.1008-9497.2023.04.007

Mathematics and Computer Science

Research on the impact of investor sentiment on stock market returns based on VAR and EGARCH

Zhenbin GAO¹(

),Xingbi LIANG²

^1.School of Statistics，Xi'an University of Finance and Economics，Xi'an 710100，China
^2.Ministry of Public Basic Teaching，Chongqing College of Mobile Communication，Chongqing 401420，China

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Abstract

Based on the existing results at home and abroad, this paper uses principal component analysis to combine two subjective sentiment indicators and four objective sentiment indicators into a comprehensive index that can effectively measure investor sentiment. The constructed composite sentiment index can reflect most of the information of the six original indicators, and is significantly correlated with the stock market return rate. When studying the relationship between investment sentiment fluctuation and stock market return fluctuation, vector autoregression (VAR) model is used to explore the relationship between them. Accounting for asymmetry of stock market information, exponential generalized autoregressive conditional heteroskedasticity (EGARCH) model is used in this paper. The results show that the impact of negative and pessimistic sentiment on stock market returns is greater than that of positive and optimistic sentiment. The impact of falling earnings on investor sentiment is far greater than that of rising earnings.

Key words： investor sentiment vector autoregression (VAR) exponential generalized autoregressive conditional heteroskedasticity (EGARCH)

Received: 15 March 2022 Published: 17 July 2023

CLC:

F 830.91

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Cite this article:

Zhenbin GAO, Xingbi LIANG. Research on the impact of investor sentiment on stock market returns based on VAR and EGARCH. Journal of Zhejiang University (Science Edition), 2023, 50(4): 434-441.

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https://www.zjujournals.com/sci/EN/Y2023/V50/I4/434

基于VAR和EGARCH的投资者情绪对股市收益率的影响研究

借鉴国内外已有成果，用主成分分析法将2个主观指标与4个客观指标相结合，形成一个能有效衡量投资者情绪的综合指标，其能反映6个原始指标的大部分信息，且与股市收益率显著相关。在研究投资者情绪波动和股市收益率波动时，用向量自回归（vector autoregression，VAR）模型探索了二者间的关系；考虑证券市场信息的不对称性，运用了指数广义自回归条件异方差（exponential generalized autoregressive conditional heteroskedasticity，EGARCH）模型。研究表明，投资者消极悲观情绪对股市收益率的冲击作用大于积极乐观情绪；投资者情绪受收益率下降的冲击影响远大于收益率上涨的影响。

关键词： 投资者情绪, 向量自回归模型（VAR）, 指数广义自回归条件异方差（EGARCH）模型

Table 1 The monthly indicator selection and declare

Table 2 Proxy indicator descriptive statistics result

Table 3 Correlation analysis result

Fig.1 Standardized FISI and SHR trend

Table 4 FISH and SHR correlation analysis

Fig.2 VAR model stability verify result

Table 5 FISH and SHR Granger cause verify

Table 6 FISH and SZR Granger cause verify

EGARCH模型	系数	结果
条件均值方程	$C$	-0.165 2^***
	$C 1$	0.017 8^**
	$C 2$	0.827 3^***
条件方差方程	$ω$	-1.529 3^***
	$α 1$	0.777 8^***
	$η 1$	-1.045 1^***
	$β$	0.570 5^***

Table 7 EGARCH model estimation results

EGARCH模型	系数	结果
条件均值方程	$C$	-0.579 3^***
条件均值方程	$C 1$	0.027 5^***
条件方差方程	$ω$	0.273 6^***
	$α 1$	-0.037 0^**
	$η 1$	0.678 0^***
	$β$	1.103 9^***

Table 8 EGARCH model estimation results


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