投资者高频情绪对股市成交量的异质性影响研究——基于分位数向量自回归模型  

Research on the Heterogeneous Influence of Investors’High-frequency Sentiment on Stock Market Trading Volume:Based on Quantile Vector Autoregressive Model

作　　者：任仙玲[1] 吕玉卓 邓磊 REN Xianling;LYU Yuzhuo;DENG Lei(School of Economics,Ocean University of China,Qingdao 266100,China)

机构地区：[1]中国海洋大学经济学院,山东青岛266100

出　　处：《运筹与管理》2023年第5期197-203,共7页Operations Research and Management Science

基　　金：全国统计科学研究重大项目(2019LD05)。

摘　　要：从高频视角分析股市情绪效应的异质性特征及机理,对我国金融风险管控具有重要意义。本文借助文本分析法抓取网络舆情数据,构造日内投资者高频情绪指数,在分位数Granger因果关系检验的基础上,构建分位数向量自回归模型并进行脉冲响应分析,探究不同极性投资者高频情绪对不同市场状态下及不同分位水平股市成交量的异质性影响。结果表明:(1)不同极性投资者情绪对股市成交量影响具有异质性,悲观情绪对股市成交量的脉冲强度明显大于乐观情绪且衰减较慢;(2)投资者情绪对股市成交量的影响随市场状态的变化而不同;(3)在相同市场状态下,情绪对不同分位水平股市成交量的影响也存在差异,投资者情绪对股市成交量的下分位点脉冲强度显著大于上分位点,中位点最弱。According to“Research Report on Individual Investors in 2019”released by Shenzhen Stock Exchange,the structure of Chinese stock market investors is mainly retail investors.Compared with institutions,retail investors are at a relative disadvantage in terms of information acquisition,screening and analysis ability,and are more susceptible to market sentiment and irrational behaviors,which aggravate stock market turbulence.In theory,the trading behavior of investors is the basis of the capital market.The traditional financial theory takes the assumption of rational man as the premise,focuses on the fundamental information of the market,and ignores the impact of individual investor behavior on the stock market.Behavioral finance theory holds that investor psychology and other micro factors will influence the choice of investor behavior,thus affecting the stock market.Considering that the stock market trading volume represents the active degree of capital trading in the stock market and reflects the conversion of market trading sentiment,it is an important index for studying the stock market.In addition,under different market conditions,the influence of investor sentiment of different polarity on the stock market may be heterogeneous.Therefore,based on the high-frequency perspective,this paper analyzes the heterogeneous characteristics and mechanism of investor sentiment on stock market trading volume,which is of great significance for our financial risk management and control.This paper selects the time from January 29,2018 to September 30,2019 as the sample period,divides the stock market into three market states:bull market,bear market and volatile market according to the price trend,and tests the robustness of the samples taken during the COVID-19 outbreak.The trading volume of Shanghai Composite Index is taken as the research object,and the data comes from Wind database.Using crawler technology,based on the stock forum post of“East Money Information”as the information source,text analysis is used to const

关 键 词：投资者高频情绪 股市成交量 分位数Granger因果关系检验 分位数向量自回归模型 脉冲响应分析 

分 类 号：F830.91[经济管理—金融学]