投资者情绪与股票收益率的关系——来自中国股市的实证证据  

Relationship Between Investor Sentiment and Stock Return: Empirical Evidence From Chinese Stock Market

作　　者：辛宗普 郭万山[2] XIN Zong-pu;GUO Wan-shan(School of Mathematics and Statistics,Liaoning University,Shenyang 110036,China;School of Economics,Liaoning University,Shenyang 110036,China)

机构地区：[1]辽宁大学数学与统计学院,辽宁沈阳110036 [2]辽宁大学经济学院,辽宁沈阳110036

出　　处：《辽宁大学学报（自然科学版）》2022年第4期318-324,共7页Journal of Liaoning University：Natural Sciences Edition

基　　金：国家自然科学基金面上项目(62073157)。

摘　　要：本文在构建投资者情绪指标基础上,分别采用Granger因果检验、脉冲响应分析、方差分解方法对投资者情绪与股票收益率之间的关系进行研究.研究结果表明,投资者情绪对收益率的影响具有累积效应,是影响股票收益率波动的一股力量.Based on the construction of investor sentiment, Granger causality test, impulse response analysis and variance decomposition method are utilized to investigate the relationship between investor sentiment and stock returns.The research results demonstrate that investor sentiment has a cumulative effect on stock returns, which is a force affecting the volatility of stock returns.

关 键 词：行为金融 投资者情绪 封闭基金折价率 脉冲分析 

分 类 号：F832[经济管理—金融学]