个人与机构投资者情绪对个股异常收益率的非对称影响  

The asymmetric effects of institutional/individual sentiment on abnormal returns of the stock

作　　者：曹仙叶[1] 刘咏梅[1] CAO Xianye;LIU Yongmei(School of Business, Central South University, Changsha 410083, China)

机构地区：[1]中南大学商学院,湖南长沙410083

出　　处：《中南大学学报（社会科学版）》2016年第6期92-101,共10页Journal of Central South University：Social Sciences

基　　金：国家自然科学基金委重大国际(地区)合作研究项目"基于行为的电子商务研究"(71210003)

摘　　要：采用净买入资金比例代理投资者情绪,研究了个人投资者、机构投资者的积极情绪和消极情绪对异常收益率的非对称影响。以2012年1月至2015年10月的2 658支股票作为研究对象,采用固定效应模型进行了实证研究。结果表明,个人投资者情绪对随后两周的异常收益率有负向影响,机构投资者情绪对随后四周的异常收益率均有正向影响。同时,投资者情绪对异常收益率存在非对称影响:个人投资者积极情绪与消极情绪在对后第一周和后第三周异常收益率的影响上存在显著差异;机构投资者积极情绪与消极情绪在对后第三周的异常收益率的影响上也存在显著差异。因此,将两种情绪分别估计更有效,且得到的实证结果对于理解投资者情绪的非对称影响有重要价值。By employing the data of proportion of net buying capital flows as the proxies of sentiment, the present studyfocuses on the asymmetric effects of positive and negative sentiment on the abnormal returns. We selected 2658 stockswithin a total of 194 trading weeks from January 2012 to October 2015 as the research objects to conduct a panel datamodel with individual fixed effects. The results show that in the next week and the week after next, the individualsentiment has negative effect on the abnormal returns, and that in the four weeks institutional sentiment has positiveeffect on the abnormal returns. Moreover, investor sentiment has asymmetric effects on the abnormal returns in thefollowing weeks. That is to say, the effect of individual positive sentiment is significantly different from the negativesentiment in the first and third week after, and the effect of institutional negative sentiment is significantly differentfrom the positive sentiment in the third week after. We can get a more effective model by estimating the two types ofsentiments separately. The empirical results have important value for understanding the impact of positive and negativeemotions on the abnormal return of stock.

关 键 词：个人投资者 机构投资者 投资者情绪 积极情绪 消极情绪 非对称影响 

分 类 号：F830.91[经济管理—金融学]