股市不同状态下的机构投资者情绪效应  

The Effect of Institutional Investors Sentiment Under Different States of the Stock Market

作　　者：曹旺栋 何朝林[1] CAO Wangdong;HE Chaolin(School of Mathematics,Physics and Finance,Anhui Polytechnic University,Wuhu 241000,China)

机构地区：[1]安徽工程大学数理与金融学院,安徽芜湖241000

出　　处：《安徽工程大学学报》2023年第1期69-76,共8页Journal of Anhui Polytechnic University

基　　金：国家自然科学基金资助项目(71873002)。

摘　　要：基于上证综指等权和加权日回报率,在股票市场处于牛市、熊市和中性市场下研究机构投资者情绪和上证综指回报率的关系,形成机构投资者决策的相关启示。选取资本市场8个指标作为情绪取代变量,运用较主成分分析法更为精确的偏最小二乘法测度机构投资者情绪变量;基于2010~2020年上证综指日收盘价,运用BB法则划分股票市场状态,获得连续性的牛市、熊市和中性市场;最后,基于GARCH族模型,运用上证综指等权和加权日回报率研究机构投资者情绪与上证综指回报率的关系。结果表明,在牛市平稳期和中市乐观期,机构投资者看好中小盘股的反转效应;在熊市悲观期,机构投资者看好大盘股的动量效应。研究指出机构投资者情绪并未改变资产收益与风险的关系,机构投资者是资本市场稳定发展的重要力量。Based on equal weight and weighted daily return of Shanghai Composite Index,this paper studies the relationship between institutional investors sentiment and return of Shanghai Composite Index under bull market,bear market and neutral market,and brings enlightenments for institutional investors decision-making and capital market policy.Eight indexes of capital market are selected as sentiment substitution variables,and the partial least squares method is more accurate than principal component analysis to measure the sentiment variables of institutional investors;Based on the daily closing price of Shanghai Stock Index from 2010to 2020,the BB rule is used to divide the stock market state and obtain continuous bull market,bear market and neutral market;Finally,based on the GARCH family model,the relationship between institutional investor sentiment and the return rate of Shanghai Composite index is studied by using equal weight and weighted daily return rate.The results show that in the bull market stable period and the medium market optimistic period,institutional investors are optimistic about the reversal effect of small and medium-sized stocks;In the bearish period,institutional investors are optimistic about the momentum effect of large cap stocks.The research points out that institutional investor sentiment does not change the relationship between asset return and risk,and institutional investors serves as the important force for the stable development of capital market.

关 键 词：机构投资者情绪 股市不同状态 投资者决策 最小二乘法 GARCH族模型 

分 类 号：F830.91[经济管理—金融学]