情绪传染、个股波动与股价同步性——来自基金重仓股的经验证据  

Emotional Contagion,Stock Volatility and Stock Price Synchronization:Empirical Evidence from the Fund′s Heavy Warehouse Stocks

作　　者：侯卉[1] 娜仁满都拉 刘剑[3] 王健[1] HOU Hui;NARINMandura;LIU Jian;WANG Jian(School of Business Administration,Northeastern University,Shenyang 110819,China;The People’sBank of China Hulun Buir Downtown Branch,Hulun Buir 021008,China;Tieling Branch of ChinaConstruction Bank,Tieling 112000,China.)

机构地区：[1]东北大学工商管理学院,辽宁沈阳110819 [2]中国人民银行呼伦贝尔市中心支行,内蒙古呼伦贝尔021008 [3]中国建设银行股份有限公司铁岭分行,辽宁铁岭112000

出　　处：《东北大学学报（自然科学版）》2021年第5期748-754,共7页Journal of Northeastern University(Natural Science)

基　　金：国家自然科学基金资助项目(71571038,71971048);辽宁省“兴辽英才”青年拔尖人才计划项目(XLYC1907015).

摘　　要：基于基金重仓股背后的委托代理投资关系,采用开放式基金流量数据建立情绪传染指标,分别从个股层面和市场层面,考察基金投资过程中的情绪传染对重仓股个股波动和股价同步性产生的影响.研究发现,情绪传染对重仓股个股波动存在显著影响,无论乐观还是悲观情绪传染,均对重仓股波动具有推动促进作用;进一步研究发现,基金投资中的情绪传染同样会使重仓股的股价同步性显著增强.从基金投资中不同主体间存在情绪传染的崭新视角解释市场异象,有助于补充行为资产定价理论研究,所得结论可为投资者、基金公司及市场监管部门提供一定参考.Based on the principal-agent investment relationship behind fund’s heavy warehouse stocks,which uses emotional contagion indexes established on the open-ended fund flow data,the effect of emotional contagion on stock volatility and stock price synchronization is investigated at the stock level and market level in fund investment.Research finds that emotional contagion has a significant promoting effect on the volatility of heavy warehouse stocks regardless of optimism contagion or pessimism contagion.Further study shows that it has a remarkable reinforcing effect on stock synchronization.The findings explain market anomalies from a new perspective of emotional contagion among different entities in fund investment,which serves as a supplement to the behavior asset pricing theory studies.The conclusions can provide reference for investors,fund companies and market regulators.

关 键 词：情绪传染 个股波动 股价同步性 基金重仓股 行为资产定价理论 

分 类 号：F830.91[经济管理—金融学]