谁对股票市场发展的影响更大?——投资者情绪还是杠杆交易?  

Which is the Important Factor that Influences the Development of the Stock Market,the Investor Sentiment or the Leverage Trading?

作　　者：陈志娟[1] 董彦杰 张顺明[3] CHEN Zhijuan;DONG Yanjie;ZHANG Shunming(School of Finance,Zhejiang Gongshang University,Hangzhou 310018;Business School,East China University of Political Science and Law,Shanghai 201620;School of Finance,Renmin University of China,Beijing 100872)

机构地区：[1]浙江工商大学金融学院,杭州310018 [2]华东政法大学商学院,上海201620 [3]中国人民大学财政金融学院,北京100872

出　　处：《系统科学与数学》2019年第10期1655-1671,共17页Journal of Systems Science and Mathematical Sciences

基　　金：国家自然科学基金(71401155,71573220,71773123);上海市社会科学基金(2018BGL013);浙江省自然科学基金(LY18G030011);浙江省高校人文社会科学重点研究基地(浙江工商大学应用经济学)资助课题

摘　　要：采用融资余额增长率作为杠杆交易的指标,融券余额增长率作为风险对冲的指标,构建投资者情绪复合指标,利用创业板市场的周数据探究影响中国股票市场发展的重要因素.研究结果表明,投资者情绪和融资余额增长率对创业板市场收益和风险均具有明显的作用,进一步研究发现,投资者情绪具有非常强的解释力,但是融资余额增长率却基本没有解释力.并且融券余额增长率对创业板市场收益和风险均没有显著影响.因而文章提出监测并正确引导投资者情绪的良性发展对金融市场的健康发展具有重要的意义.In this paper,we construct a compound index of investor sentiment and use the growth rate of margin trading and short selling activities as the indexes of leveraged trading and risk hedging,to explore the important factors affecting the development of China’s stock market by adopting the weekly data of growth enterprises board(GEB).The results show that although both investor sentiment and the growth rate of margin trading have obvious effects on the growth enterprise market returns and risks,further research shows that investor sentiment has a strong explanatory power on the stock market,but the growth rate of margin trading has little explanatory power.And the growth rate of short selling activities has no obvious effects on the growth enterprise market returns and risks.Therefore,monitoring and guiding investor sentiment is of great significance for the healthy development of the financial market.

关 键 词：融资余额增长率 融券余额增长率 创业板 股票收益 股票风险 

分 类 号：F83[经济管理—金融学]