投资者情绪对股票投资收益的影响研究  

Research on the Influence of Investor Sentiment on Stock Investment Return

作　　者：李响[1] 田路 王谦[1] 李群[3] LI Xiang;TIAN Lu;WANG Qian;LI Qun(School of Business Administration University of Science&Technology Liaoning,Anshan 114051,China;Beijing urban construction design and development group co.LTD,Beijing 100037,China;Institute of Quantitative&Technology Economics,Chinese Academy of Social Sciences,Beijing 100732,China)

机构地区：[1]辽宁科技大学工商管理学院,辽宁鞍山114051 [2]北京城建设计发展集团股份有限公司,北京100037 [3]中国社会科学院数量经济与技术经济研究所,北京100732

出　　处：《数学的实践与认识》2020年第18期258-268,共11页Mathematics in Practice and Theory

基　　金：辽宁省教育厅项目(2016FRPY01);辽宁省社会科学规划基金项目(L18AJY001)。

摘　　要：随着行为金融研究的发展,投资者情绪有效度量及其对股票投资收益的影响日益受到金融风险管理学者的关注.分析了中国股票市场投资者的典型特征,提取了与之相适应的投资者情绪度量指标,构建了反映投资者情绪的综合指数,并实证检验了投资者情绪对股票投资收益的影响.实证结果表明,投资者情绪综合指数与证券市场股票投资收益存在显著的相关性,研究结果对指导投资者个体决策行为以及监管层规范市场监管机制具有一定的理论和实践意义.With the development of behavioral finance research,the effective measurement of investor sentiment and its influence on stock return are increasingly concerned by financial risk management scholars.This paper analyzes the typical characteristics of investors in China’s stock market,extracts corresponding metrics of investor sentiment,constructs a comprehensive index to reflect investor sentiment,and empirically tests the influence of investor sentiment on stock return.The empirical results show that there is a significant correlation between investor sentiment comprehensive index and stock return in the securities market,and the research results have certain theoretical and practical significance for guiding individual decision-making behavior of investors and regulating market supervision mechanism by supervisors.

关 键 词：投资者情绪 股票收益 主成分分析 情绪综合指数 

分 类 号：F832.51[经济管理—金融学]