Abstract：Investor sentiment is one of the important factors affecting the stability of the stock market, but the heterogeneity of stock market determines the asymmetric influence of its sensitivity. According to the K-means cluster analysis, the stock market is divided into different types, and MS-DR is introduced to study the dynamic influence mechanism of investor sentiment on the stock market under different regional systems. It is found that investor sentiment has a more significant impact on the small and medium-sized stock market, and has a negative impact on the stock return. Among high and low returns, the high return is more sensitive to investor sentiment, reflecting the asymmetric effect of investor sentiment. In the normal region of the stock market, investor sentiment has a significant role, while in the extreme fluctuation period, investors emotion has no obvious effect.

Keyword：K-means clustering; investor sentiment; stock market; financial risk;