创业板市场因其高成长性与高风险特征，更容易受到投资者情绪驱动。本文基于行为金融学理论，结合企业的账面市值比、股票收益动量、托宾Q及股票换手率这四个投资者情绪子维度进行正交化处理，以消除公司基本面因素的影响，将残差作为投资者情绪替代变量进行主成分分析，构建综合情绪指标，探究2011-2023年创业板市场中投资者情绪对股票收益率的动态影响。研究发现：（1）投资者情绪指数对创业板收益率存在显著负向影响，且情绪冲击的效应在短期内更为强烈；（2）稳健性检验进一步验证了这一结论，无论是剔除2020年疫情样本还是采用滞后变量法，投资者情绪的负向影响依然显著；（3）异质性分析表明，投资者情绪对股票收益率的负向影响在不同企业类型中均存在，但在制造业和非国企中更为显著，这可能与这些企业的市场环境和治理结构有关。本研究为理解新兴市场非理性波动提供了经验证据，并对投资者风险管理和监管政策制定具有实践启示。

The ChiNext Market, characterized by high growth potential and high risk, is more susceptible to investor sentiment-driven behavior. Based on behavioral finance theory,this study orthogonalizes four investor sentiment sub-dimensions—book-to-market ratio,stock return momentum, Tobin's Q, and stock turnover rate—to eliminate the influence of firm fundamentals. The residuals are used as proxy variables for investor sentiment,and principal component analysis is employed to construct a composite sentiment indicator. This research investigates the dynamic impact of investor sentiment on stock returns in the ChiNext Market from 2011 to 2023. The findings reveal: (1) The investor sentiment index exerts a significantly negative influence on ChiNext Market returns, with the effect of sentiment shocks being more pronounced in the short term; (2) Robustness tests further validate this conclusion, as the negative impact of investor sentiment remains significant even after excluding 2020 pandemic samples or employing the lagged variable approach; (3) Heterogeneity analysis indicates that the negative effect of investor sentiment on stock returns persists across different types of firms but is more pronounced in non-manufacturing and non-state-owned enterprises, which may be attributed to their market environment and governance structures. This study provides empirical evidence for understanding irrational fluctuations in emerging markets and offers practical implications for investor risk management and regulatory policy formulation.