According　to　behavioral　finance　theory,　investor　sentiment　generally　exists　in　investors’　trading　activities　and　influences　financial　market.　In　order　to　investigate　the　interaction　between　investor　sentiment　and　stock　market　as　well　as　financial　industry,　this　study　decomposed　investor　senti-ment,　stock　price　index　and　SWS　index　of　financial　industry　into　IMF　components　at　different　scales　by　using　BEMD　algorithm.　Moreover,　the　fluctuation　characteristics　of　time　series　at　different　time　scales　were　extracted,　and　the　IMF　components　were　reconstructed　into　short-term　high-frequency　compo-nents,　medium-term　important　event　low-frequency　components　and　long-term　trend　components.　The　short-term　interaction　between　investor　sentiment　and　Shanghai　Composite　Index,　Shenzhen　Component　Index　and　financial　industries　represented　by　SWS　index　was　investigated　based　on　the　spillover　index.　The　time　difference　correlation　coefficient　was　employed　to　determine　the　medium-term　and　long-term　correlation　among　variables.　Results　demonstrate　that　investor　sentiment　has　a　strong　correlation　with　Shanghai　Composite　Index,　Shenzhen　Component　Index　and　different　financial　industries　represented　by　SWS　index　at　the　original　scale,　and　the　change　of　investor　sentiment　is　mainly　influ-enced　by　external　market　information.　The　interaction　between　most　markets　at　the　short-term　scale　is　weaker　than　that　at　the　original　scale.　Investor　sentiment　is　more　significantly　correlated　with　SWS　Bond,　SWS　Diversified　Finance　and　Shanghai　Composite　Index　at　the　long-term　scale　than　that　at　the　medium-term　scale.　©　2021,　Science　in　China　Press.　All　rights　reserved.