西安理工大学硕士学位论文
construct the core variable investor sentiment comprehensive index of this article.The VAR
model is used to conduct in-depth research on the interactive relationship between investor
sentiment and stock index returns,and the DCC GARCH model and TARCH model are
used to study the spillover effects and asymmetric effects between investor sentiment and
stock index volatility.
The research conclusions of this paper are:investor sentiment and stock index returns
have a two-way influence relationship,and the influence relationship has a time lag effect;
investor sentiment and stock index volatility have spillover effects,and the spillover effect is
more obvious in a bear market;in good news and bad news Under the impact of the
news,the influence of investor sentiment on stock index volatility showed an asymmetric
effect.
Keywords:investor sentiment;stock index returns;stock index volatility;VAR model;DCC
GARCH model
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