本文主要研究了投资者情绪对中国股市收益率的影响。本文选取2018.02—2022.01封闭式基金平均折价率（DCEF）、IPO首日收益率均值（RIPO）、每月新发股数量（NIPO）、每月新增开户数（NA）、市场换手率（TURN）和消费者信心指数（CCI）指标来构建投资者情绪指数。利用主成分分析（PCA）来构建投资者情绪，再利用VAR模型来研究投资者情绪对市场收益率的影响，对研究结果进行格兰杰因果检验及稳健性检验。结果表明投资者情绪与股票市场收益率之间存在长期的均衡关系，高涨的投资者情绪会带动股市行情上涨，但由于时效性和信息的不流通，这种由投资者情绪所带来的上涨不会一直持续，在一段时间后，投资者情绪的影响逐渐减弱直至为零。主要原因是投资者情绪高涨意味着投资者交易积极性高，股市活跃，热衷于股票买卖，同时也会吸引更多的潜在投资者开户，增大市场规模，从而提高股票市场的收益率。

This paper primarily investigates the impact of investor sentiment on the stock market returns in China. It selects indicators such as the average discount rate of closed-end funds (DCEF) from February 2018 to January 2022, the average return on the first day of IPO (RIPO), the monthly number of newly issued shares (NIPO), the monthly number of new account openings (NA), the market turnover rate (TURN), and the Consumer Confidence Index (CCI) to construct an investor sentiment index. Principal Component Analysis (PCA) is employed to construct investor sentiment, and the VAR model is utilized to study the impact of investor sentiment on market returns. Granger causality tests and robustness checks are conducted on the research results. The findings indicate a long-term equilibrium relationship between investor sentiment and stock market returns. Elevated investor sentiment drives the stock market to rise. However, due to timeliness and information asymmetry, this rise driven by investor sentiment may not persist. Over time, the impact of investor sentiment gradually diminishes until it reaches zero. The primary reason is that high investor sentiment signifies high trading enthusiasm among investors, leading to an active stock market and a keen interest in stock trading. This, in turn, attracts more potential investors to open accounts, expanding the market scale and subsequently enhancing the stock market's returns.