Exploring the Impact of Investor Sentiment on the CSI 300 Index Returns Based on Textual Data

In financial markets, understanding the interaction between investor sentiment and stock performance is crucial for investment and regulatory strategies. This paper focuses on the relationship between investor sentiment and stock returns. It collects data from the Eastmoney Stock Bar from July 31, 2015, to December 31, 2024, and constructs sentiment indices. A Vector Autoregression (VAR) model is then established. Through statistical statistics, it finds that there are co-movement trends between investor sentiment and stock returns. The results show that the lagged terms of investor sentiment affects stock return with different directions and degrees. The impulse response analysis indicates that sentiment shocks have short-term impacts on stock returns, trading volume, and transaction amount, which weaken over time. In conclusion, investor sentiment influences stock returns, but its impact is limited. This study provides decision-making references for investors, financial institutions, and regulatory authorities.