Abstract: Based on the market data and macroeconomic variables, behaviors and decision-making of Chinese stock investors are studied by VARX model under the abnormalities with introducing the dummies that represented the Big Bull Market and the Big Bear Market, and principal sources of influence on investors' behavioral changes are analysed by applying the impulse response and variance decomposition on the basis of Cholesky orthogonal decomposition. The main conclusions are as follows. Firstly, there are numerous irrational elements and speculation factors. Secondly, Chinese investors have more intense emotional changes in the Big Bear than in the Big Bull. At last, the behavioral changes of Chinese investors are barely influence by the macro-economy, but the bond market and the international stock market are the principal factors which affect the investors' behavioral changes.

Key words: VARX, capital market, investors&rsquo, behavior, abnormalities, impulse response