In this paper, we construct a compound index of investor sentiment and use the growth rate of margin trading and short selling activities as the indexes of leveraged trading and risk hedging, to explore the important factors affecting the development of China's stock market by adopting the weekly data of growth enterprises board (GEB) . The results show that although both investor sentiment and the growth rate of margin trading have obvious effects on the growth enterprise market returns and risks, further research shows that investor sentiment has a strong explanatory power on the stock market, but the growth rate of margin trading has little explanatory power. And the growth rate of short selling activities has no obvious effects on the growth enterprise market returns and risks. Therefore, monitoring and guiding investor sentiment is of great significance for the healthy development of the financial market.