中国股市指数与投资者情绪指数的相互关系

This paper selects the China's newly opened stock trading accounts as a proxy of investors' sentiment index, and uses the ARMA-GARCH-type models to examine the relationship between the investors' sentiment index and the stock returns. The results show that the ARMA-GARCH-type models can effectively capture the autoregressions and the heteroscedasticities of investors' sentiment index and the returns of Shanghai Stock Exchange composite index. The result from Granger Causality Test demonstrates that the factor of returns of Shanghai Stock Exchange composite index is a significant affecting element to the change rate of investors' sentiment. However, we find that the change rate of investors' sentiment has no significant Granger causality relationship. Investors may adjust their sentiment based on different characters of market performances. When the market is on the raising period, investors behave in a more optimistic mood. At the same time, more new investors enter into the stock market. By contraries, when the market is on reverse period, investors behave in a pessimistic mood. Investors will wait and see, and go slow entering into the stock market. The newly opened stock trading accounts will also be decreasing.