Together with the traditional sentiment proxies ( closed-end fund discount， turnover and number of IPOs) in Baker and Wurgler ( 2006，2007) ， the Chinese volatility index( iVX) is used as a new sentiment proxy to build a weekly composite sentiment index for the Chinese A-share market． The dependent relationship between the sentiment index and the market return and the forecasting effect of the sentiment index for the market return are analyzed． It is found that sentiment index and market return are negatively related． Their concurrent dependence relationship is not obvious， however． The sentiment index has a signicant forecasting power for the market return three weeks ahead． The inclusion of iVX can signicantly improve the forecasting ability， while the number of IPOs is not an effective sentiment proxy． In addition， when constructing the sentiment index using PCA， the performance of the rst two principal components is worse than that of the firrst principal component． The asymmetry of sentiment effect is analyzed and it is found that a positive sentiment index has a much greater impact on future market returns than a negative sentiment index．