投资者情绪对风险市场价格的系统影响——中、美股票市场的比较  

Impact of Investor Sentiment on Market Price of Risk:A Systematic Analysis

作　　者：张颖[1] 粟坤全 袁野菁菁 

机构地区：[1]对外经济贸易大学金融学院,北京100029 [2]英大期货有限公司,北京100005 [3]对外经济贸易大学外语学院,北京100029

出　　处：《国际商务（对外经济贸易大学学报）》2013年第4期58-66,共9页INTERNATIONAL BUSINESS

基　　金：国家社科基金重大项目(项目编号:11AZD010);对外经济贸易大学教师学术创新团队资助项目的(项目编号CXTD2-04)的支持

摘　　要：本文根据上证A股指数和深成A股指数计算风险的市场价格时间序列,并考察投资者情绪对风险的市场价格的影响。运用向量自回归方法和脉冲响应函数来刻画风险的市场价格对投资者情绪的响应程度。本文使用主成分分析构造投资者情绪指数,将其分解成为理性和非理性成分,分别考察两者对风险的市场价格的影响,也考察了沪市和深市的相互影响。本文发现风险的市场价格对投资者情绪的理性成分在第二期有显著负向响应,但是对非理性成分的响应则不显著;此外,投资者情绪处于回落时期和高涨时期的风险价格有显著的差异,回落时期风险的市场价格是正的,但在高涨时期则可能是负的。By studying market prices of risk （MPR） corresponding to the A-Share indices of SSE ＆ SZSE, this paper explores the impact of investor senti- ment on MPR. The vector autoregression （VAR） methodology and impulse re- sponse function are applied to make a demonstration of influences of investor sen- timent on MPR. The sentiment index is decomposed into two components, the ra- tional and the irrational, followed by exclusive inspection of each other＇s impact on MPR. This research also examines the interactional influence of investor senti- ment about SSE and SZSE on each other＇s MPR. As a result, MPR is found to have a significant negative response to the rational component of investor senti- ment in the second period, but the response to the irrational component is insig- nificant. It is also found that MPR varies dramatically when investor sentiment is pessimistic from when it is optimistic. MPR is positive during the pessimistic time while it is likely to be negative during optimistic times.

关 键 词：投资者情绪 风险的市场价格 夏普比率 中国股票市场 

分 类 号：F224[经济管理—国民经济] F831.51