创业板投资者情绪及其收益率相关性研究  

Research on the Correlation between the GEM Investor's Mood and the Yield

作　　者：吴海燕[1] 杨朝军[1] 龚霄[2] 

机构地区：[1]上海交通大学安泰经济与管理学院 [2]上海交通大学媒体与设计学院,上海200052

出　　处：《上海管理科学》2012年第3期20-23,共4页Shanghai Management Science

基　　金：国家自然科学基金资助项目(70773075)

摘　　要：本文采用向量自回归模型VAR方法分别研究了我国主板市场与创业板市场投资者情绪与收益率之间影响是系。研究发现我国主板市场中投资者情绪对收益率有显著影响,而收益率对投资者情绪无显著影响;而创业板市场表现不同,投资者情绪对收益率无显著相关影响。研究表明:出现上述现象的原因是由于两市场的投资者结构存在差异,创业板市场投资者更成熟、创业板政策及监管更为全面等原因。The paper uses VAR approach to study relationship between investor sentiment and the yield of the Main Board and Growth Enterprise Market of our country. The study found that the Main Board investor sentiment significantly affect yield, and yield no significant effect on investor sentiment; While differently, GEM market＇ s investor sentiment, yields no significant impact. The reason for these phenomena is due to two kinds of investors in the market structure difference, GEM investors are more mature, GEM policy and regulation are more holistic and other reasons.

关 键 词：投资者情绪 收益率 创业板 

分 类 号：F270.7[经济管理—企业管理]