投资者情绪对股价联动的影响——基于中国证券市场的实证研究  

Investor Sentiment's Influence to the Stock Linkage:An Empirical Research based on Stock Market in China

作　　者：余秋玲[1] 朱宏泉[1] 

机构地区：[1]西南交通大学经济管理学院,四川成都610031

出　　处：《金融理论与实践》2015年第4期81-87,共7页Financial Theory and Practice

基　　金：国家自然科学基金项目<异质信念;市场环境与资产定价>(项目批准号:71171170);国家自然科学基金项目<机构投资者投机性交易对资产定价的影响-基于中国证券市场的分析>(项目批准号:71473206)

摘　　要：分别从个股层面以及市场层面探讨投资者情绪对中国证券市场股价联动现象的影响。实证揭示:(1)中国证券市场存在显著的股价联动效应。(2)投资者情绪对股价联动现象存在显著的负向影响。(3)个股层面的投资者情绪变量对股价联动的影响大于市场层面的综合情绪变量。(4)投资者情绪对不同行业的股价联动的影响存在差异。The author made a discussion about the investor sentiment’s effect on the stock linkage phe-nomenon of stock market in China, which from stock level and market level respectively. The empirical result showed four conclusions. (1) There existed a significant stock linkage effects in China’s stock market. (2) The investor sentiment gave a significant negative impact on the stock linkage effects. (3) The investor sentiment variables’impact of stock level was bigger than the integrated emotional vari-ables of market level. (4) There existed differences in the stock linkage effect of different sectors from the investor sentiment.

关 键 词：证券市场 投资者情绪 股价联动性 股票成交量 股票换手率 

分 类 号：F830.91[经济管理—金融学]