投资者情绪与股票收益--基于个人和机构投资者情绪的对比研究  

Investors' Sentimet and Stock Returns——Based on a Comparative Analysis on the Individual and Institutional Investors' Sentiment

作　　者：安江丽 张立超[2] 

机构地区：[1]西南财经大学中国金融研究中心,四川成都611130 [2]西南财经大学中国西部经济研究中心,四川成都611130

出　　处：《金融发展研究》2016年第8期19-24,共6页Journal Of Financial Development Research

摘　　要：通过对噪音交易模型(DSSW模型)的修正,本文以2005—2015年上交所A股市场为研究对象,选用新增开户数构建投资者情绪指标,研究个人和机构投资者情绪之间的关联性并且对比这两类投资者的情绪对股票收益的影响。结果表明:个人和机构投资者情绪的相互影响是不对称的,主要为机构投资者情绪影响个人投资者情绪。当期个人投资者情绪、滞后一期机构投资者情绪对市场超额收益有显著性影响,机构投资者情绪能够预测股票市场,而个人投资者情绪不具有预测作用。Through amending the DSSW noise trader model, this paper selects the Shanghai Stock Exchange Ashare market from 2005 to 2015 as the research object, chooses the newly-opened accounts as the indicator of investors＇ sentiment to study the correlations between individuals and institutions sentiment and contrasts the effects of two types of investors＇ sentiment on stock returns. The results show that the interaction of individuals and institutions sentiment is asymmetric, mainly because the institutional investors＇ sentiment influences the individual investors＇ sentiment. Current individual investors＇ sentiment, the lagged institutional investors＇ sentiment have a significant impact on the market excess returns. The institutional investors＇ sentiment can predict the stock market, but the individual investors＇ sentiment can＇t predict stock market.

关 键 词：噪音交易模型 投资者情绪 新增开户数 

分 类 号：F830.91[经济管理—金融学]