Confidence Is More Valuable Than Money: Research on Time-varying Effect of Investor Sentiment, Energy Price and Stock Price

• 1、Chongqing University Economics and Business Administration, Chongqing 400030

Abstract："Oil is the blood of modern industry". With the rapid process of commodity financialization, the interaction between energy price and stock price is increasingly affected by many investor behavior factors. Based on China\'s coal-based energy structure, we construct a China\'s Divisia Comprehensive Energy Index. Then time-varying parameter vector autoregressive model (TVP-VAR) is used to conduct empirical research on investor sentiment, energy price and stock price from 2009.1 to 2018.12. The research results show that the relations of investor sentiment, energy price fluctuation and stock price fluctuation are changing with varying time, that is there are different relations in different periods. Energy price fluctuation noConfidence Is More Valuable Than Money: Research on Time-varying Effect of Investor Sentiment, Energy Price and Stock Pricet only has a direct impact on current stock price, but also has a indirectly impact on stock price through affecting investor sentiment, while investor sentiment can enhance the co-movement effect energy price and stock price. Further research on individual investor sentiment, institutional investor sentiment, energy price and stock price also finds similar effect of investor sentiment. And robustness test reveals similar results. Base on the connection of these three variations and the influence of fluctuations to the economy and finance, we give some suggestions such as establishing early warming mechanism of investor sentiment, perfecting the price stability mechanism and maintaining the stability of the stock market.

Keywords： Applied Economics Investor sentiment Individual investor sentiment Energy price Stock price TVP-VAR