Based on the data of Shanghai A-share market and listed companies during the period of 2005 to 2011，this paper makes a comparative study between the effects of individual and institutional investor senti_x005fment，aiming to clarify their roles in the stock market． Previous studies have mostly studied the interactions of these two or the impacts of either on the market．Instead，we focus on both of them and go deeper into the stock level from a new perspective: quantifying the sensitivity of stock returns to investor sentiment changes by rolling regression． Based on the DSSW model，this study sets up a theoretical model which combines the interactions of individual and institutional investor sentiment．The results show that institutional sentiment can predict individual sentiment，while the converse is not true． Institutions are relatively rational and their sentiment can predict the market returns，while individual sentiment cannot．The findings further indicate that the sensitivity of stock returns to investor sentiment changes is comparatively higher for those stocks with higher market attentions．This phenomenon has showed the consistency between sensitivity of stock returns to individual sentiment changes and institutional sentiment changes．