投资者情绪指数及中国股市的实证  

INVESTOR SENTIMENT INDEX AND EMPIRICAL EVIDENCE FROM CHINA'S STOCK MARKET

作　　者：黄德龙[1] 文凤华[1] 杨晓光[2] 

机构地区：[1]中国科学院数学与系统科学研究院,北京100190 [2]长沙理工大学金融工程与金融管理研究中心,长沙410076

出　　处：《系统科学与数学》2009年第1期1-13,共13页Journal of Systems Science and Mathematical Sciences

基　　金：国家自然科学基金(70425004);湖南省普通高等学校哲学社会科学重点研究基地经费的资助

摘　　要：准确度量投资者情绪,有助于深刻理解市场,进行有效的监管和制定正确的投资策略.从重新界定投资者情绪的定义出发,对投资者情绪与当期收益的关系进行了理论演绎,总结出5条有关投资者情绪与当前收益关系的假说.依据可以获得的投资者情绪代理变量,利用主成分分析构建了中国证券市场投资者情绪指数,进而利用EGARCH模型实证检验了上述5条假说.实证结果表明,理论演绎与市场实际运行有很好的相合性.Investor sentiment can help people to correctly understand the mechanism of stock market, which further can be used to market regulation and investment strategy. On the basis of a comprehensive definition of investor sentiment, a theoretical analysis about the relationship between investor sentiment and spot return is given, and five hypotheses of investor sentiment are concluded. With the available proxies, the principal component analysis is used to build an investor sentiment index for China＇s stock market. EGARCH models are used to evaluate how movement of sentiment affects spot return and the different effects towards different types of stocks. These empirical results provide a good support for the theoretical analysis.

关 键 词：投资者情绪 当期收益 情绪与收益假说 投资者情绪指数 

分 类 号：F224[经济管理—国民经济] F832.51