Investor Sentiment and Stock Return: Comparison of Bull and Bear Market and Difference between Chinese and American Mark

This paper mostly focuses on comparing the relationships between investor sentiment and stock return in bull and bear markets as well as studying the difference of investor sentiment’s influence on stock return between Chinese and American markets by using regression analysis, VAR model, impulsive function and some other methods. The investor sentiment indicators picked by this paper consist of BSI, CEFD and Consumer Confidence Index. An empirical analysis shows that: (1) In Chinese market the impact of investor sentiment on stock return in bear market is more significant than the effect of investor sentiment on stock return in bull market. (2) Investor sentiment has bigger influence on stock return in Chinese market than in American market.