基于投资者情绪的市场均值-方差关系研究  

Study on Market Mean-Variance Relation Based on Investor Sentiment

作　　者：宋泽芳[1] 李元[1,2] 

机构地区：[1]广州大学经济与统计学院,广东广州510006 [2]广州大学岭南统计科学研究中心,广东广州510006

出　　处：《数理统计与管理》2015年第6期1102-1110,共9页Journal of Applied Statistics and Management

基　　金：国家自然科学基金资助(11271095);高等学校博士学科点专项科研基金资助(20124410110002)

摘　　要：本文应用带有GARCH效应的门限模型,研究了投资者情绪对市场均值-方差关系的影响。实证结果表明,市场均值-方差关系受投资者情绪的影响存在一个转变机制。当市场情绪落入低迷期,均值-方差的关系负相关;当投资者情绪进入到复苏期或高涨期时,两者关系是显著正相关,而且当期情绪的这种作用还会影响到下期的市场。同时发现股市政策性变化会引起情绪波动。The paper adopts a threshold model with GARCH effect to study the effect of investor sentiment on the mean-variance relationship. The results show that the influence of investor sentiment on mean-variance relationship exits a transition mechanism. The relationship is significantly negative when sentiment falls into the low periods and is significantly positive when sentiment enters a recovery or high periods. In addition, the effect can influence the next market. Furthermore, a change in market policy causes the sentiment fluctuations.

关 键 词：投资者情绪 均值-方差关系 门限模型 

分 类 号：O212[理学—概率论与数理统计]