我国股市投资者情绪与超额收益关系的研究  

The Research on the Relationship Between Investor Sentiment and Excess Returns in Chinese Stock Market

作　　者：杨少华[1,2] 郭万山[1] 

机构地区：[1]辽宁大学经济学院,辽宁沈阳110036 [2]阜阳师范学院数学与统计学院,安徽阜阳236041

出　　处：《上饶师范学院学报》2017年第5期79-84,共6页Journal of Shangrao Normal University

基　　金：安徽省高等学校省级自然科学重大研究项目(KJ2014ZD21)

摘　　要：将换手率、市盈率、股票涨跌个数比和成交量四个投资者情绪代理指标利用主成分分析法构造为投资者情绪综合指标,然后利用普通最小二乘回归法、向量自回归模型和Granger因果关系检验对我国股市投资者情绪及其变化与超额收益的关系进行研究,发现投资者情绪显著影响市场超额收益。积极的情绪对市场超额收益有正向影响,消极的情绪对市场超额收益有负向影响,两者对超额收益的影响是不对称的;一阶滞后超额收益对投资者情绪有显著正向影响,二阶滞后超额收益对投资者有显著负向影响;Granger因果关系检验揭示投资者情绪与市场超额收益间存在双向因果关系。This paper constructs a composite investor sentiment index using advance and declining ratio,PE ratios,turnover rates,trading volumes employing Principal Component Analysis,and then studies the relationship between investor sentiment and excess returns in Chinese stock market,using the ordinary least squares regression method,the vector autoregressive model and the Granger causality test.The results are as follows：investor sentiment significantly affects market excess returns,positive investor sentiment has a positive impact on market excess returns,and negative investor sentiment has a negative impact on market excess returns,but their impact on excess returns is asymmetric.The excess returns is positive and significant at its first lag but significantly negative in its second lag in influencing the sentiment index;Granger causality test also concludes that there is a bidirectional causality between investor sentiment and market excess returns.

关 键 词：股市 投资者 情绪 超额收益 GRANGER因果关系 

分 类 号：F832.48[经济管理—金融学]