An Empirical Study on the Influence of Investor Sentiment and Stock Price——Based on VAR Model

Under the continuous development of behavioral finance, the research on stock market volatility has been carried out from multiple angles. Based on monthly data from January 2005 to December 2020, we analyzed the relationship between investor sentiment and stock prices by establishing a VAR model. The results indicate that changes in investor sentiment are mostly dependent on their own contributions, and it will fluctuate in the short term due to stock market fluctuations and changes in the consumer price index. As a preliminary result, we can combine text analysis, machine learning and other methods to conduct more in-depth research on stock prices and investor sentiment.