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Research on the Impact Mechanism of Investor Sentiment on Stock Market Volatility
- 1 Faculty of Business Administration, The Hong Kong Polytechnic University, Hong Kong, China
* Author to whom correspondence should be addressed.
Abstract
This paper addresses the flaws and shortcomings under the mechanism of investor sentiment's influence on the volatility of the stock market and analyzes the two directions of the precise measurement of sentiment and the time lag of sentiment. The article utilizes the authoritative AAII sentiment survey and the establishment of a sentiment thesaurus to solve the problem of accurately measuring investor sentiment. It is found that the AAII survey is only applicable to short-term judgment and is not supported by a model, while the sentiment thesaurus is more complete, and the use of searching for the corresponding sentiment performance can be a good response to the current market volatility trend. In the analysis of lag, both MFB and Composite Sentiment Index provide a good idea to solve or reduce the difference caused by this lag. Especially in the combination of MFB and BorutaShap algorithm research method, a very good dynamic model is established, which shows the direction for every market fluctuation prediction. Future research could do more to refine the design of dynamic models under this mechanism as well as precise quantitative research on the subjective variable of sentiment, applying prediction and analysis to stabilize market volatility trends over the long term.
Keywords
investor sentiment, market volatility, measure, time-lagged
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Cite this article
Jia,S. (2025). Research on the Impact Mechanism of Investor Sentiment on Stock Market Volatility. Advances in Economics, Management and Political Sciences,177,81-86.
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