摘要
This study applies time-series analysis to observe investor sentiment in the tourism stock market. We infer that investor sentiment positively affects the capital flows to illustrate the behavioral finance in the tourism stock market. The vector autoregression and autoregressive-moving-average models of time-series analysis are adopted to analyze individual and overall capital flows of herding behavior. The empirical study collected quarterly data on 45 tourism-related stocks in China from 2018 to 2020. Results reaffirm that investor sentiment causes irrational investment and strong fluctuations of capital flows, including those during the Coronavirus 2019 pandemic. In practice, the overreaction of tourism-related stocks is discovered in the tourism market that requires long-term resilience. Theoretically, the rational capital asset pricing model needs adjustments with the sentiment factor based on behavioral finance theory.