结构突变下投资者情绪与股市收益间的非线性溢出效应研究  

Research on Non-liner Information Spillover Effect between Investor Sentiment and Stock Market Return under Structural Break

作　　者：张国胜 林宇[2] ZHANG Guo-sheng;LIN Yu(School of Economics,Beijing Wuzi University,Beiing 101149,China;Business School,Chengdu University of technology,Chengdu 610059,China)

机构地区：[1]北京物资学院经济学院,北京101149 [2]成都理工大学商学院,四川成都610059

出　　处：《数理统计与管理》2021年第1期148-161,共14页Journal of Applied Statistics and Management

基　　金：国家自然科学基金资助项目(71771032)。

摘　　要：为了深入挖掘投资者情绪与股市收益的非线性溢出效应,本文首先选取消费者信心指数、封闭式基金折价率、换手率、新增开户增长率、市盈率这五个变量作为情绪指数潜在变量,再通过R藤Copula得到各潜在变量的联合分布,进而构造出投资者情绪指数;然后运用ICSS模型对股票指数收益率的状态进行划分,将结构突变点作为虚拟变量纳入到经典的AR-EGARCH波动模型中刻画收益率序列;最后运用时变Copula函数对投资者情绪与股市收益率间的动态非线性溢出效应进行定量测度,以期揭示二者之间的内在规律。研究结果表明:投资者情绪与股市收益间确实存在溢出效应,从长期趋势分析,投资者情绪与股市收益率的相关系数为正,说明投资者情绪与市场收益率之间在长期表现为显著正相关,即投资者情绪对收益率有正向溢出效应,投资者情绪的高涨与悲观同收益率的升高与降低步调一致。然而从短期分析,相关系数的波动范围为0.2至0.35,说明在不同投资环境及市场背景下投资者情绪与市场收益率之间的相关程度并非一成不变,投资者情绪高涨时期,两者间溢出效应也随情绪指数升高,投资者情绪悲观时期两者间溢出效应也降低。In order to tap into the information spillover effect of investor sentiment and stock market return,this paper first selects the five variables of consumer confidence index,closed-end fund discount rate,turnover rate,new account opening growth rate and price-earnings ratio as the agent index of emotional comprehensive index and obtains the joint distribution of each index through regular Vine Copula,and then derives the emotional comprehensive index to reflect the emotional changes of the stock market.Then we get the state index of the stock index return rate through the ICSS model,and add the structural catastrophe point as a dummy variable to the traditional AR-EGARCH volatility model;finally introduced the time-varying Copula function to quantitatively measure its dynamic dependence,in order to fully understand the internal relationship between investor sentiment and stock index.The results show that the spillover effects between investor sentiment and stock market returns are existed,from the long-term trend analysis,the tail correlation coefficient between investor sentiment and stock market return is positive,indicating that there is a significant positive correlation between investor sentiment and market return in the long-term performance,the spillover effects between investor sentiment and stock market returns are positive,the rise of optimistic investor sentiment or the pessimistic consistent with the change of market return.However,from the short-term analysis,the fluctuation range of the correlation coefficient is 0.2 to 0.35,which indicates that the correlation between investor sentiment and market return is not static in different investment environments and market backgrounds.During the period of high investor sentiment,the spillover effect between the two also increased with the sentiment index,and the degree of spillover effect during the investor’s emotional pessimistic periods also decreased.

关 键 词：投资者情绪 结构突变 R藤Copula ICSS 时变COPULA 

分 类 号：O212[理学—概率论与数理统计]