金融危机背景下中美投资者情绪的传染性分析  

The research on investor sentiment contagion between China and U.S.based on the background of financial crisis

作　　者：文凤华[1] 杨鑫[1] 龚旭[1] 黄创霞[2,3] 杨晓光[2,3] 

机构地区：[1]中南大学商学院,长沙410083 [2]长沙理工大学经济与管理学院,长沙410114 [3]中国科学院数学与系统科学研究院管理决策与信息系统重点实验室,北京100190

出　　处：《系统工程理论与实践》2015年第3期623-629,共7页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金面上项目(71171024;71371195)

摘　　要：投资者负面情绪在市场之间的传染将会加速金融危机的蔓延.因此,随着我国资本市场的逐步开放,研究投资者情绪传染对我国资本市场的影响已变得越来越迫切.本文分别在中国和美国市场构建投资者情绪代理指标,研究金融危机背景下中美市场投资者情绪的传染效应.通过格兰杰因果检验发现美国市场投资者情绪对中国市场投资者情绪存在单向传导,并以反映金融市场之间的关联程度的Copula传染指数进行进一步的传染性分析,结果表明:美国市场投资者情绪对中国市场投资者情绪的传染性在不同时期呈现出不同的大小关系,随着中国资本市场不断开放,其传染性随之增强,尤其是在次贷危机发生时,投资者的传染性达到最大.Negative sentiment among investors in the market will accelerate the spread ot contagious financial crisis. Thus, with the gradual opening-up of China＇s capital market, studying contagious of investor sentiment on China＇s capital market has become increasingly urgent. This paper is respectively constructed proxies of investor sentiment in the Chinese and U.S. markets, discussing investor sentiment contagion between China and U.S. based on background of financial crisis. We conclude that investors sentiment of China is Granger-caused by U.S., and using copula contagion index for further research, the result shows that U.S. market of investor sentiment have great contagious on Chinese market at different times. Especially in the subprime crisis, investors sentiment contagious reaching a maximum.

关 键 词：投资者情绪 传染效应 COPULA函数 

分 类 号：F830[经济管理—金融学]