我国股票价格指数与投资者情绪的互动效应研究  

Research on the Interactive Effect of Stock Price Index and Investor sentiment in China

作　　者：童元松 

机构地区：[1]常州信息职业技术学院数字经济学院

出　　处：《价格理论与实践》2020年第9期98-101,179,共5页Price:Theory & Practice

基　　金：常州信息职业技术学院2017重点人文项目“江苏中小微企业发展金融支持政策研究(项目编号:CXRS201704Z)”。

摘　　要：研究投资者情绪的波动与股价指数的涨跌之间的关系,有利于我国股市平稳运行与市场监管。本文基于2003年1月至2020年6月上证指数、深圳成指月收益率的数据,以及分别考虑机构、个人投资者情绪,构建实证模型,研究投资者情绪与股价指数的互动效应。研究发现:机构与个人投资者情绪密切,呈现正相关,并影响到股指波动。相对而言,机构投资者较为理性,情绪稳定。股指波动与个人投资者情绪互为格兰杰因果关系,后者的亢奋很可能导致后期股价指数的短期波动。机构、个人投资者情绪与股价指数均有自身较强的惯性与持续性,但又存在程度不一的互动效应。据此本文提出建立股指波动与投资者情绪监测预警机制、培育稳健的长期机构投资者、借助移动学习模式持续推进投资者教育,提高投资者素养等建议。The research of the relationship between the fluctuation of investor sentiment and the rise and fall of stock price index is conducive to the smooth operation of China’s stock market and market regulation. Based on the data of monthly returns of Shanghai Stock Exchange index and Shenzhen component index from January 2003 to June 2020, and taking institutional and individual investor sentiment into account respectively, this paper constructs an empirical model to study the interaction effect between investor sentiment and stock price index. The results show that institutional and individual investor sentiment are closely correlated and positively correlated, and affect the volatility of stock index. Relatively speaking, institutional investors are more rational, emotional stability. Stock index volatility and individual investor sentiment are mutually granger causality, the latter’s excitement is likely to lead to the later stock price index short-term volatility. Institutional, individual investor sentiment and stock price index have their own strong inertia and continuity, but there are different degrees of interactive effects. Therefore, this paper puts forward some suggestions, such as establishing the monitoring and warning mechanism of stock index volatility and investor sentiment, cultivating stable long-term institutional investors, continuously promoting investor education with the help of mobile learning mode, and improving investor literacy.

关 键 词：机构投资者 个人投资者 投资者情绪 股指收益率 

分 类 号：F832.51[经济管理—金融学]