中文摘要：

用宏观经济变化来代表市场中的理性因素，用投资者情绪变化来代表市场中的非理性因素，研究市场中的理性因素和非理性因素对股票市场收益的影响．研究结果发现，投资者情绪的变化和宏观经济的变化都对股票市场收益有显著的正向影响；宏观经济变化和投资者情绪变化对股票市场收益的相对作用大小也会因情绪或者经济状况的不同而存在差异，宏观经济变化在情绪下降时期和经济下行时期对股票市场收益起主要作用，而投资者情绪变化在情绪上升时期和经济上行时期起主要作用，表明了市场上理性因素和非理性因素的力量对比会因情绪变化和宏观经济变化而发生改变．我们的研究结果表明了在对股票市场的研究中区分不同时期以及同时考虑市场中的理性因素和非理性因素的必要性．

英文摘要：

This paper studies the impact of rational factor and irrational factor, represented by macroeconomic index and investor sentiment index respectively, on the Shanghai composite index returns. The results show that changes in investor sentiment index and changes in the macroeconomic index both have important effects on the Shanghai composite index return. Changes in macroeconomic leading index have a positive impact on the Shanghai composite index return in the period of sentiment declines and in the period of economic downturn. Changes in investor sentiment have a positive impact on the Shanghai composite index return in the period of sentiment increase, and have a positive impact on the Shanghai compositeindex return both in the period of economic downturn and in the period of economic booms. When consider both macro economy and investor sentiment at the same time, we find that the main role of changes in investor sentiment and changes in macro economy index alternates with each other. Specifically, changes in investor sentiment index plays a more important role in the regression of Shanghai stock index returns in the period of sentiment rises and in the period of economic booms, and changes in macroeconomic leading index plays a more important role in the period of sentiment declines and in the period of economic downturn. Our results indicate the necessity of considering different sample periods and taking into account both the rational and irrational factors in the stock market.