投资者情绪与宏观经济波动对股票市场收益率的影响  

The Impact of Investor Sentiment and Macro Economy Fluctuations on Stock Market Returns

作　　者：谢世清[1] 唐思勋 Xie Shiqing;Tang Sixun

机构地区：[1]北京大学经济学院 [2]芝加哥大学经济系

出　　处：《宏观经济研究》2021年第2期99-107,共9页Macroeconomics

摘　　要：本文利用股票市场2012年1月至2017年12月的72期数据,通过结构化向量自回归模型对投资者情绪和宏观经济波动进行探究。研究结果表明:(1)积极的投资者情绪变化在短期内对股票市场收益率产生积极影响;(2)正向的投资者情绪变化对股票市场收益率的冲击持续期间约为一年左右;(3)正向的宏观经济波动对股票市场收益率的累积冲击为正向效应,持续时间约为一年,但在该期间内也存在反转的影响区间;(4)投资者情绪对股票市场收益率方差的解释贡献率远高于宏观经济波动,说明股票市场收益率对投资者情绪变化而产生的波动更为剧烈。This paper explores investor sentiment and macro economy fluctuations through a structured vector autoregressive model using 72 periods of stock market data from January 2012 to December 2017.The findings indicate that:(1)positive investor sentiment changes positively affect stock market returns in the short run;(2)positive investor sentiment changes have a shock duration of about one year on stock market returns;(3)positive macro economy fluctuations have a positive cumulative impact on stock market returns with a duration of about one year.However,there is also an inverse impact interval within that period;(4)the explanatory contribution of investor sentiment to the variance of stock market returns is much higher than that of macro economy,indicating that stock market returns fluctuate more sharply in response to changes in investor sentiment.

关 键 词：结构化向量自回归 投资者情绪 主成分分析 脉冲响应 

分 类 号：F832.51[经济管理—金融学] F224