中国波动率指数iVX与投资者情绪的双向互动关系  

The Two-way Interaction Between China’s Volatility Index iVX and Investor Sentiment

作　　者：赵曼仪 龙文 ZHAO Manyi;LONG Wen(School of Management and Economics,Beijing Institute of Technology,Beijing 100081,China;School of Economics and Management,University of Chinese Academy of Sciences,Beijing 100190,China;Research Center on Fictitious Economy and Data Science,Chinese Academy of Sciences,Beijing 100190,China)

机构地区：[1]北京理工大学管理与经济学院,北京100081 [2]中国科学院大学经济与管理学院,北京100190 [3]中国科学院虚拟经济与数据科学研究中心,北京100190

出　　处：《计量经济学报》2023年第2期531-547,共17页China Journal of Econometrics

基　　金：国家自然科学基金(71771204);中央高校基本科研业务费专项基金(E0E48946X2)。

摘　　要：本文构建了包含宏观经济和股票市场两个层面的投资者情绪指数体系,采用分布滞后模型和联立方程模型,分析了不同层面上情绪对中国波指iVX的影响以及两者的互动关系.研究发现,与仅考虑情绪对iVX影响的单方程结果相比,考虑了双向互动机制下的联立方程模型能发掘更多信息.结果显示,第一,在iVX运行期间和停止发布后,iVX对同期宏观层面情绪均具有表征作用;第二,在iVX运行期间和停止发布后,iVX可以反映同期的股票市场层面的投资者情绪;第三,在iVX运行期间,股票市场情绪会受到iVX变化的显著影响,但这种影响在iVX停止发布后消失,表明投资者情绪在一定程度上受到股市指标的干扰,而宏观情绪在两段期间内均不会受到iVX变化的影响.由于我国股市还处于不断发展和完善的阶段,本文的研究对于证实iVX的实践价值、推进和维护股票市场指标发布和运行具有重要意义.This paper constructs an investor sentiment index system that includes two levels of macroeconomics and stock market.ADL and simultaneous equation models are employed to analyze the impact of sentiment on the Chinese volatility index,iVX,at different levels and the interaction between them.It is found that,compared with the single equation results,which only consider the impact of emotions on iVX,the simultaneous equation model considering the two-way interaction mechanism can discover more information.The results showed that,first,during iVX operation and after it stopped publishing,iVX had the capacity to reflect the macro-level sentiment of the same period;second,iVX can reflect the investor sentiment at the stock market level in the same period during the operation of iVX and after the release is stopped;third,during iVX operation,stock market sentiment will be significantly affected by iVX changes,but this impact will disappear after iVX stops publishing,indicating that investor sentiment is disturbed by stock market indicators to a certain extent,while macro sentiment will not be affected by iVX changes in both periods.In view of the fact that China’s stock market is still in the stage of continuous development and improvement,this study is of great significance for confirming the practical value of iVX and promoting and maintaining the release and operation of stock market indicators.

关 键 词：iVX 投资者情绪体系 双向互动 表征作用 

分 类 号：F832.51[经济管理—金融学] F224