我国证券市场理性投资的实证检验:基于投资者情绪的视角  

An Empirical Test of Rational Investment in China’s Securities Market:from the Perspective of Investor Sentiment

作　　者：李先科 LI Xianke(School of Economics and Management,Guangzhou College of Applied Science and Technology,Guangzhou 511370,China)

机构地区：[1]广州应用科技学院经济与管理学院,广东广州511370

出　　处：《金融教育研究》2021年第6期23-31,共9页Research of Finance and Education

基　　金：国家社科基金青年项目“数字乡村建设与城乡要素流动的协同机理和实现路径研究”(20CJY038);广东省教育厅青年创新人才类项目“工业互联网、企业创新网络与区域产业协同创新研究”(2021WQNCX106);广东省教育厅青年创新人才类项目“经济开放、企业创新活力与区域经济协同发展”(2020WQNCX104)。

摘　　要：投资者情绪反映了投资者对未来的预期,指引着证券市场上的投资行为。选用了2013年1月—2020年12月上海证券市场的月频数据,分析市场投资者情绪与上证50指数收益率的互动关系。研究发现投资者情绪对指数收益率的影响在滞后二期时达到最大,然后开始缓慢衰减,具有较强的惯性作用;指数收益率的冲击会促使投资者情绪快速回归理性;投资者情绪向乐观方向变化时,会增加指数上涨的概率。作为价值投资代表的上证50指数与市场投资者情绪互为因果关系,这表明我国近年来证券市场商已经显现出价值投资为主、理性投资的特征。Investor sentiment reflects investors’expectation of the future and guides the investment behavior in the securities market.This paper selects the monthly frequency data of Shanghai stock market from January 2013 to December 2020 to analyze the interactive relationship between investor sentiment and the yield of the Shanghai Stock Exchange 50 index.The results show that the impact of investor sentiment on the index return reaches the maximum when it lags behind the second period,and then begins to slow down,which has a strong inertia effect;the impact of index yield will prompt investors’sentiment to return to rationality quickly;when the investor sentiment changes to the optimistic direction,it will increase the probability of the index rising.As the representative of value investment,the Shanghai Stock Exchange 50 index and the market investor sentiment are mutually causal,which shows that in recent years,China’s securities market has shown the characteristics of value investment oriented and rational investment.

关 键 词：理性投资 投资者情绪 指数收益率 收益率异象 

分 类 号：F832.5[经济管理—金融学]