投资者情绪对市场风险价格影响  

The Influence of Investor Sentiment on the Market Price of Risk

作　　者：尹海员[1] 李忠民[1] 

机构地区：[1]陕西师范大学,陕西西安710062

出　　处：《上海金融》2011年第11期73-79,共7页Shanghai Finance

基　　金：教育部人文社会科学青年基金"基于投资者行为分析的我国证券市场监管研究"(06JC790027;主持人:尹海员);陕西师范大学211工程第三期建设项目资助

摘　　要：本文利用我国证券市场统计数据研究了个体和机构投资者情绪对风险市场价格(MPR)的影响,实证结果证明了市场对波动的反应是异质性的,并且受投资者情绪变化的影响。具体来看,将投资者情绪分解成理性和非理性成分后,非理性乐观情绪的增加将导致MPR明显的下降,但理性情绪的变动不会对MPR有明显的影响。这意味着当市场投资者情绪是由基础价值变化来决定的时候,市场风险价格不会发生变化。进一步的VAR脉冲响应函数分析结果显示,非理性的乐观或悲观情绪并不受理性情绪波动的影响,这意味着非理性情绪不是由基础风险因素决定的。The article uses statistical data from China＇s security market to study the influence of individual and institutional investor sentiment on the market price of risk（MPR）.The empirical analysis proves that the response of market to fluctuation is heterogeneous,and is affected by investor sentiment.Specifically,when investor sentiment is decomposed into rational and irrational components,the increase in irrational optimism will lead to a significant downward in MPR,while the fluctuation of rational sentiment has no significant effect on MPR.This means that when investor sentiment is determined by fundamental values,the market price of risk will not change.Further analysis adopting VAR model and impulse response function shows that irrational optimism or pessimism is not affected by rational sentiment,meaning that irrational sentiment is not determined by fundamental risk factors.

关 键 词：证券市场 风险市场价格 投资者情绪 

分 类 号：F830.91[经济管理—金融学]