At the end of December 2019,the COVID-19 broke out in the United States and spread to China.The epidemic had a sig-nificant impact on the global and national economy,and the global stock market also entered the cold winter.The stock market is a barometer of the economy.In China's stock market,over 90％of investors are individual investors,and the emotional reactions of in-dividual investors are closely related to the rise and fall of the stock market.Based on this,the paper selects five individual indicators including turnover rate,trading volume,turnover ratio,margin trading balance,and Baidu search index to establish a comprehensive indicator of investor sentiment through principal component analysis.Simultaneously selecting relevant indicators to construct a com-prehensive index of the epidemic,and examining the relationship between the two and stock returns through VAR models,Granger causality tests,impulse response analysis,variance decomposition,and other methods.Suggestions are also proposed.
维普
万方数据