投资者情绪和收益在上证50、中小板、创业板市场的交叉效应——基于TVP-VAR的实证研究  

Cross Effect of Investor Sentiment and Returns on SSE 50,SME and ChiNext Market:Empirical Research Based on TVP-VAR

作　　者：黄华继[1] 孙黎娜 HUANG Huaji;SUN Lina(School of Finance and Economics,Anhui University,Bengbu,Anhui 233030,China)

机构地区：[1]安徽财经大学金融学院,安徽蚌埠233030

出　　处：《宜宾学院学报》2022年第7期1-9,49,共10页Journal of Yibin University

基　　金：安徽财经大学研究生科研创新基金项目(ACYC2020178)。

摘　　要：采用2013年1月至2020年9月的月度数据,构建中小板、创业板、上证50板块情绪指标,建立TVP-VAR模型,通过等间隔脉冲函数探究三个板块市场情绪和收益之间的时变关系特征发现:三个板块之间存在情绪、收益及交叉溢出效应,且短期冲击强于中长期冲击,并受股市波动影响。从情绪溢出看,三者之间冲击都是正向关系,但冲击趋势变化是不同的;从收益溢出看,三个板块间的冲击均是正向关系,短期冲击较强也相对稳定;从交叉溢出看,三个板块收益对情绪的溢出趋势大致相同,对股市波动较为敏感,冲击会随股市波动而变化,一般呈负向关系。Using monthly data from January 2013 to September 2020,the sentiment indicators for the SME board,the ChiNext board and the SSE 50 sector are constructed,and the TVP-VAR model is established.The time-varying relationship characteristics between the market sentiment and returns of the three sectors are explored through equal interval pulse functions.It is found that there are sentiment,return,and cross-spillover effects among the three sectors,and short-term shocks are stronger than mid-to-long-term shocks and are affected by stock market fluctuations.From the emotional spillover point of view,the shocks among the three sectors are all positive,but the impact trend changes are different;from the perspective of income spillovers,the impacts among the three sectors are similarly positive,and short-term impacts are relatively strong and relatively stable;from the perspective of crossover spillover,the spillover trend of the three sectors’earnings on sentiment is roughly the same,and the stock market volatility is relatively sensitive,the impact will vary with stock market fluctuations,generally showing a negative relationship.

关 键 词：情绪溢出 收益溢出 交叉溢出 时变关系特征 TVP-VAR 

分 类 号：F830[经济管理—金融学]