Investors are important players in the stock market. In the market of China, non-institutional investor accounts for as much as 90%. The investor sentiment has an important impact to the stock market. The sentiment affects investors' decison-making, and then stock market returns. After this reaction, the stock return stimulates investor sentiment. This paper builds the investor sentiment indicator based on daily data, and uses structural vector autoregressive model to study the relationship between investor sentiment and stock market returns of small, medium and large scales. The results show that the interactive influence exists between investor sentiment and stock market returns of different scales. There is a time lag effect on the impact of stock market returns on investor sentiment. However, after the investor sentiment is affected, stock market returns in the current period will be subsequently influenced significantly. At the same time, the influence of investor sentiment on stock market returns of different size are diverse. The earnings of small and medium-sized stock indexes are more likely to be affected by investor sentiment than the broader market.
Key words
investor sentiment /
stock market returns /
interactive influence
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