我国A股市场中的波动性之谜与市场情绪  

Stock Market Volatility Puzzle and Market Sentiment in Chinese A-share Stock Markets

作　　者：周洪荣[1] 吴卫星[2] 周业安[1] 

机构地区：[1]中国人民大学经济学院,100872 [2]对外经济贸易大学金融学院应用金融研究中心,100029

出　　处：《上海经济研究》2012年第4期3-13,共11页Shanghai Journal of Economics

基　　金：北京地区普通高等学校学科群项目"产业结构优化与经济可持续发展";国家自然科学基金(71073020);霍英东青年教师基金项目(111086);对外经济贸易大学‘211工程’三期重大课题的阶段性研究成果

摘　　要：本文使用Campbell和Shiller(1988)基于对数线性RVF的VAR非线性Wald检验方法对我国A股1994-2009期间的数据进行实证研究,结果表明样本期间我国A股股价相对其基础价值表现出"过度波动"的迹象,无论是常数超额收益率模型还是V-CAPM模型都无法对此进行解释。通过进一步定义市场情绪指数来分析这种"波动性之谜"现象的原因,结果发现市场情绪和股市"过度波动"之间存在相互作用机制,市场情绪能够对股价波动提供额外的解释。In this paper, we analyze whether the Chinese A share stock markets exhibit excess volatility by employing the VAR methodology based on log-linear RVF of Campbell＆Shiller （1988）. According to our result, relative to the intrinsic value implied by dividends, Chinese A share stock markets always exhibit excessive volatility for the period of 1994 to 2009. It is difficult to explain the stock market volatility puzzle of China＇s stock market, no matter we run constant excess return model or V-CAPM model. We try to explain the reasons by studying the stock market sentiment index, and find evidence of an interaction mechanism between investor sentiment and excess volatility. And one more meaningful result is that adding the stock market sentiment index to our model can provide extra explanatory power for the excess volatility of the stock market.

关 键 词：股市波动性之谜 动态戈登模型 V—CAPM 市场情绪 

分 类 号：F832.5[经济管理—金融学]