Abstract: As a hotspot issue of behavioral finance, most of the existing researches on the investor sentiment focus on its influence on traders' behavior and financial market. But there are few in-depth studies on the influencing factors and generating mechanism of investor sentiment. So which factors have significant impact on investor sentiment, and in which way do they affect investor sentiment? The answers to these questions will be directly related to the in-depth understanding of the development and evolution rule of investor sentiment, as an important behavior financial variable. So research on this topic has certain theoretical and practical value.
On the basis of potential inducing factors of investor sentiment revealed by Dasgupta and Chattopadhyay (2014), under the guidance of the combination of standard financial theory and behavioral finance theory, we try to describe the formatting mechanism of investor sentiment in the stock market in this paper. A formatting mechanism concept model of the investor sentiment with three hypothesis on different channel is established. Monetary environment, market yield, market volatility and related asset return are set to be independent variables in the model, as well as market investment value and market expectation are set to be intermediate variables in the concept model. Using 667 groups of Chinese stock market daily data from July 1, 2014 to March 31, 2017, an empirical research is made to by establishing VAR model, which integrates the above independent variables and intermediate variables into a systematic research framework. The empirical results show that the direct influence on investor sentiment by market yield is verified, the hypothesis that market expectation acts as intermediate variable is partially verified, and the hypothesis that market investment value acts as intermediate variable is not verified. It is also found that there exists a positive feedback loop among the market yield, market investment value and investor sentiment.
The research in this paper reveals the influencing factors system and its implementation path of the investor sentiment formation, and furthers the research in this field to the level of mechanism, which also provides a more feasible idea for the study of the evolution law of investor sentiment.

Key words: investor sentiment, market expectation, market investment value