投资者情绪对股票收益率及其波动的影响--基于对恒瑞医药的研究  

The Impact of Investor Sentiment on Stock Return and Its Volatility:Based on the Research of Hengrui Medicine

作　　者：王力[1] 刘莉[1] WANG Li;LIU Li(Anhui University of Finance and Economics,Bengbu Anhui 233030,China)

机构地区：[1]安徽财经大学,安徽蚌埠233030

出　　处：《铜陵学院学报》2022年第1期28-32,共5页Journal of Tongling University

摘　　要：为探究目前中国股票市场发展的健康程度,选取2019年1月2日至2020年10月30日的日度投资者情绪指数以及同期恒瑞医药(600276)收盘价数据为样本,运用GARCH模型、Granger因果关系检验以及脉冲响应分析研究投资者情绪对恒瑞医药收益率及其波动的影响,得出:投资者情绪与收益率之间仍互为Granger因果关系,但是前者对后者的影响更小。表明目前投资者情绪对市场收益的正向影响正在减弱,即中国股票市场的羊群效应正在减弱,股市正朝着更加健康有效的方向发展。最后提出可通过设置合理的开户门槛、差异化收取交易手续费以及严格执行强制退市的量化指标等方式促进股市进一步健康发展。To explore the health of the stock market development in our country at present,selecting the daily investor sentiment index from January 2,2019 to October 30,2020 and the closing price data of Hengrui Pharmaceutical(600276)in the same period,using GARCH model corresponding analysis and Granger causality and pulse test research investor sentiment to hengrui pharmaceutical yields and its fluctuations,it is concluded that:there is still Granger causality between investor sentiment and yield,but the former has less impact on the latter.It shows that the positive impact of investor sentiment on market returns is weakening,that is,the herding effect of China's stock market is weakening,and the stock market is developing in a more healthy and effective direction.Finally,it is proposed that we can promote the further healthy development of the stock market by setting a reasonable account opening threshold,collecting differentiated transaction fees and strictly implementing the quantitative indicators of compulsory delisting.

关 键 词：股票市场 健康程度 投资者情绪 收益率 

分 类 号：F831.5[经济管理—金融学]