In contrast to the traditional view that economic policy affects investor sentiment and eventually causes stock price fluctuations, we reveal that investor sentiment is a reflection of both economic policy and stock market information. This article first proposes an improved ETE method with a sliding window. We verify that this new method can capture the dynamic orders effectively by validating this method with the linear TE method. Furthermore, using the improved method, we investigate the strength and direction of information flow among economic policy uncertainty (EPU), investor sentiment and stock market by the novel concept of dynamic effective transfer entropy. The EPU and investor sentiment results show that EPU influenced investor sentiment mainly from August 2015 to June 2016. Among different policies, China's exchange rate reform policy and “circuit-breaker” policy in the stock market played an important role. Moreover, the analysis of sentiment and stock price returns shows that investor sentiment is more a reflection of changes in stock price returns with a 1-month lag order and that the stock market has a significant bargainer effect and a weaker bandwagon effect. Finally, there is no significant information flow transmission relationship between EPU and stock market volatility, indicating that stock market fluctuations are essentially not affected by national policy fluctuations. Although investor sentiment is affected by changes, such as exchange rate reform and stock market policies, many investors do not form consensus expectations.

与传统的认为经济政策会影响投资者情绪并最终导致股价波动的观点相反，我们发现投资者情绪既反映了经济政策又反映了股票市场信息。本文首先提出了一种改进的带有滑动窗口的ETE方法。通过使用线性TE方法验证该方法，我们验证了该新方法可以有效捕获动态订单。此外，使用改进的方法，通过动态有效转移熵的新概念，研究了经济政策不确定性（EPU），投资者情绪和股票市场之间信息流的强度和方向。EPU和投资者情绪结果显示，EPU主要在2015年8月至2016年6月期间影响了投资者情绪。汇率改革政策和“断路器”政策在股市中发挥了重要作用。此外，对情绪和股价收益的分析表明，投资者情绪更多地反映了具有1个月滞后顺序的股价收益的变化，并且股市具有明显的议价效应和较弱的波动效应。最后，EPU与股市波动之间没有显着的信息流传递关系，这表明股市波动本质上不受国家政策波动的影响。尽管投资者的情绪受到汇率改革和股市政策等变化的影响，但许多投资者并未达成共识。对情绪和股价收益的分析表明，投资者情绪更多地反映了具有1个月滞后订单的股价收益的变化，并且股市具有显着的议价效应和较弱的波动效应。最后，EPU与股市波动之间没有显着的信息流传递关系，这表明股市波动本质上不受国家政策波动的影响。尽管投资者的情绪受到汇率改革和股市政策等变化的影响，但许多投资者并未达成共识。对情绪和股价收益的分析表明，投资者情绪更多地反映了具有1个月滞后订单的股价收益的变化，并且股市具有显着的议价效应和较弱的波动效应。最后，EPU与股市波动之间没有显着的信息流传递关系，这表明股市波动本质上不受国家政策波动的影响。尽管投资者的情绪受到汇率改革和股市政策等变化的影响，但许多投资者并未达成共识。最后，EPU与股市波动之间没有显着的信息流传递关系，这表明股市波动本质上不受国家政策波动的影响。尽管投资者的情绪受到汇率改革和股市政策等变化的影响，但许多投资者并未达成共识。最后，EPU与股市波动之间没有显着的信息流传递关系，这表明股市波动本质上不受国家政策波动的影响。尽管投资者的情绪受到汇率改革和股市政策等变化的影响，但许多投资者并未达成共识。