Investor Epidemic Sentiment and Stock Market Returns - Evidence from the Chinese Stock Market
Author:Zhongqiang Zhou, Lixiang He Author Unit: School of Big Data Application and Economics, Guizhou University of Finance and Economics, Guiyang 550025, Guizhou, China
Abstract：In this paper, the impact of investor epidemic sentiment on stock market returns is explored by analyzing the stock trading data of Chinas A-share market during the period from 20 January 2020 to 8 January 2023 and the statistics in relation to the Covid-19 pandemic. It starts by constructing an index of investor epidemic sentiment through principal component analysis. Then, the vector autoregressive model (VAR) is applied to analyse the relationship between investor epidemic sentiment and A-share market returns. According to the analytical results, the sentiment of investors about the epidemic changes with its dynamics; there is a unidirectional Granger causality present between investor epidemic sentiment and A-share market return; and A-share market return is the Granger cause of investor epidemic sentiment. This paper enriches the construction method of investor sentiment index under the context of public health emergencies, which provides a significant reference to guide investor sentiment scientiffcally and reasonably under public health emergencies while reducing capital market volatility.
