Research on the Correlation between China's Shanghai A-Share and Gold Market from the Perspective of Investor Sentiment

Based on the basic theory of behavioral finance and from the perspective of investor sentiment, this paper selects the monthly data of domestic Shanghai stock index and Shanghai gold futures from 2011 to 2020, constructs the investor sentiment indicators of domestic A-share and Shanghai futures market by using the principal component analysis method, and studies the correlation of investor sentiment in the domestic stock market and gold market. Through the establishment of tvp-var model, the empirical research shows that there is a significant positive correlation between the investor sentiment index of domestic stock market and the closing price of Shanghai stock index. The investor sentiment of stock market has a certain positive dynamic impact on the investor sentiment of gold futures market, and the short-term dynamic effect is more significant than the long-term. In this regard, this paper puts forward the following suggestions: in the future, the government should strengthen the management of financial market, improve the information disclosure degree of listed companies, and further optimize the investor structure; Domestic investors should also strengthen the analysis of the macroeconomic environment, constantly reduce the interference of irrational factors, and overcome the adverse impact of irrational emotions on the domestic financial market