机构和个人投资者情绪反转效应研究  

Research on reversal effect of institutional and individual investors sentiment

作　　者：郭霖麟 Guo Linlin

机构地区：[1]郑州航空工业管理学院会计学院

出　　处：《投资研究》2018年第7期92-102,共11页Review of Investment Studies

摘　　要：信息刺激是投资者情绪产生变化的重要因素,为探究机构和个人投资者在面对信息冲击时情绪是否存在反转效应,本文通过情绪反转模型研究机构和个人投资者情绪的反转效应,结果显示单一和两个信息集的冲击与机构和个人投资者情绪的反转相关性较小,三个信息集的联合共振与机构和个人投资者情绪的反转相关性较大。本文认为当新的信息刺激与当前投资者情绪状态不吻合且多个层面信息联合共振时,面对这种差异,投资者会迅速转变情绪状态,这体现了投资者与生俱来的"动物精神"。Information stimulation is an important factor in the change of investor sentiment,The purpose of this paper is to explore how the institutional investors and individual investors'emotions fluctuate and whether there is consistency in the face of the impact of information.On the basis of the model of investor sentiment volatility is established to study the relations among the impact of information set and the strong volatility and sharp reversal of investor sentiment.The results show that:it is smaller for the correlation between the impact of one and two information set and the strong volatility and the reversal phenomenon of Institutional and individual investor sentiment,while it is larger for the correlation between the combined impact of three information sets and the strong volatility and the reversal phenomenon.Aiming at the reversal phenomenon of investor sentiment,this paper concludes that:once a new stimulation of information is not matched with the current sentiment state of investor,and there is a combination resonance among the information of multiple levels,the investor will rapidly transform his or her sentiment state when facing this kind of difference.It shows the innate "animal spirit"of investor.

关 键 词：机构投资者情绪 信息 反转 

分 类 号：G00[文化科学] G11