投资者情绪、过度交易与中国A股市场波动--基于证券投资者信心指数调查数据的分析  

Investor sentiment,overtrading and Chinese A-shares market volatility in China:A research based on SICI survey data

作　　者：王道平 范小云 贾昱宁 王业东 WANG Dao-ping;FAN Xiao-yun;JIA Yu-ning;WANG Ye-dong(School of Finance,Nankai University,Tianjin 300350,China;The People's Bank of China Tianjin Branch,Tianjin 300040,China)

机构地区：[1]南开大学金融学院,天津300350 [2]中国人民银行天津分行,天津300040

出　　处：《管理科学学报》2022年第7期85-105,共21页Journal of Management Sciences in China

基　　金：国家社会科学基金资助重大项目(17ZDA074);国家社会科学基金资助青年项目(18CJY061);国家自然科学基金资助项目(72073076,71803090,71803091).

摘　　要：本文采用证券投资者保护基金调查数据的证券投资者信心指数(SICI),运用有向无环图(DAG)以及基于有向无环图结果的递归预测方差分解技术,深入探究了我国投资者情绪、过度交易行为与股市波动间的同期及动态影响,进而为减轻我国A股市场的过度波动现象,防范化解金融系统性风险提供实证支持.实证结果显示:就同期影响而言,我国A股市场的过度波动与投资者情绪变化导致了过度交易行为;就动态影响而言,随着互联网通讯技术与杠杆交易的兴起,我国投资者情绪、市场波动具有较强的“自我实现”机制,尽管近年来我国投资者情绪及交易行为日趋理性,但在市场出现较大波动尤其是牛熊更替暴跌时期,市场波动对我国投资者情绪影响将会变大,投资者情绪波动将导致非理性交易行为显著增加,此时投资者的非理性情绪与交易行为也将对我国A股市场波动产生显著影响,加剧了我国证券市场风险.Using Security Investor Confidence Index(SICI) based on China Securities Investor Protection Fund survey data for the first time, this paper analyses the concurrent and dynamic effect between investor sentiment, overtrading and Chinese A-shares stock market fluctuation based on directed acyclic graphs and recursive forecast error variance decompositions. The empirical results indicate that in the current period, excessive volatility of A-share market and changes of investor sentiment will cause overtrading. In terms of dynamic impacts, there’s strong “self-fulfillment” mechanism for investor sentiment and market volatility with the rise of internet communication technology and leveraged transaction. Although China’s investor sentiment and trading behavior are more rational in recent years, when the market is highly volatile, especially during bull-bear replacement slump period, market volatility’s influence on investor sentiment will be bigger and fluctuation in investor sentiment will increase irrational trading significantly. In such cases, investor’s irrational sentiment and trading behavior will also influence Chinese A-share market significantly and exacerbate security market risk.

关 键 词：投资者情绪 过度交易 A股市场波动 证券投资者信心指数 有向无环图 

分 类 号：F831[经济管理—金融学]