关键词: 投资者情绪, 股票收益, 不同周期, 线性Granger因果检验, 非线性Granger因果检验

Abstract: By constructing the investors’ sentiment index and applying the linear and nonlinear Granger causality tests， the relationships between investors’ sentiment and stock returns at different market states were studied. The empirical results showed that there is a oneway linear causality relationship and a significant twoway nonlinear causality relationship in the whole sample period; therefore， the relationship between investors’ sentiment and stock returns can be understood more comprehensively by using the nonlinear causality test. The nonlinear causality relationships between them at the bull and bear market states are different， which is consistent with the reality of China’s stock market， the one filled with irrational sentiments.

Key words: investors’ sentiment, stock return, different period, linear Granger causality, nonlinear Granger causality