Investor Sentiment,Subjective Belief Adjustment and Market Fluctuations
构建数学模型分析投资者情绪与主观信念调整如何影响市场波动，实证发现情绪正向影响信念，偏好基本面信息有助于情绪稳定，且情绪对市场收益和波动有显著正向作用。
In this paper,we construct a mathematical model to demonstrate the inherent mechanism of investor sentiment,the subjective belief adjustment and market volatility.After introducing a subjective belief variable, we resolve the mechanism of investor sentiment and market volatility through theoretical modeling and empirical studies,and portray the unusual market fluctuations caused by the adjustment of subjective belief,which means building the analysis framework from belief adjustment,investor sentiment to market volatility.In the empirical study,we use principal component analysis to establish investor sentiment index and test the relationship among sentiment,belief and market volatility by multiple regression method and impulse response function.The empirical results show that investor sentiment has positive impact on belief;different information preference will lead to different sentiment swing frequency;preferences to fundamental information contribute more to sentiment stability; investor sentiment has a significant positive impact on market returns and volatility.