关键词:  , 投资者情绪；股票收益率；SSTAR模型

Abstract:  The linearity between investor sentiment and stock returns is tested, and it is found that their relationship shows significant non-linear feature On this basis, structural smooth transition vector autoregressive (SSTAR) model is constructed to demonstrate the non-linear relationship The result shows that investor sentiment is the main factor affecting the stock market First of all, investor sentiment has a significant stimulating effect on the stock market in the bull market, and investors show irrational behaviors Secondly, investor sentiment has instantaneous impact on the stock market in the bear market, and this effect lasts for a short time Finally, stock returns will positively stimulate investor sentiment with short duration and weak strength

Key words: investor sentiment, stock market, SSTAR model