基于VAR和EGARCH的投资者情绪对股市收益率的影响研究  

Research on the impact of investor sentiment on stock market returns based on VAR and EGARCH

作　　者：高振斌 梁兴碧 GAO Zhenbin;LIANG Xingbi(School of Statistics,Xi'an University of Finance and Economics,Xi'an 710100,China;Ministry of Public Basic Teaching,Chongqing College of Mobile Communication,Chongqing 401420,China)

机构地区：[1]西安财经大学统计学院,陕西西安710100 [2]重庆移通学院公共基础教育部,重庆401420

出　　处：《浙江大学学报（理学版）》2023年第4期434-441,454,共9页Journal of Zhejiang University（Science Edition）

摘　　要：借鉴国内外已有成果,用主成分分析法将2个主观指标与4个客观指标相结合,形成一个能有效衡量投资者情绪的综合指标,其能反映6个原始指标的大部分信息,且与股市收益率显著相关。在研究投资者情绪波动和股市收益率波动时,用向量自回归(vector autoregression,VAR)模型探索了二者间的关系;考虑证券市场信息的不对称性,运用了指数广义自回归条件异方差(exponential generalized autoregressive conditional heteroskedasticity,EGARCH)模型。研究表明,投资者消极悲观情绪对股市收益率的冲击作用大于积极乐观情绪;投资者情绪受收益率下降的冲击影响远大于收益率上涨的影响。Based on the existing results at home and abroad,this paper uses principal component analysis to combine two subjective sentiment indicators and four objective sentiment indicators into a comprehensive index that can effectively measure investor sentiment.The constructed composite sentiment index can reflect most of the information of the six original indicators,and is significantly correlated with the stock market return rate.When studying the relationship between investment sentiment fluctuation and stock market return fluctuation,vector autoregression(VAR)model is used to explore the relationship between them.Accounting for asymmetry of stock market information,exponential generalized autoregressive conditional heteroskedasticity(EGARCH)model is used in this paper.The results show that the impact of negative and pessimistic sentiment on stock market returns is greater than that of positive and optimistic sentiment.The impact of falling earnings on investor sentiment is far greater than that of rising earnings.

关 键 词：投资者情绪 向量自回归模型(VAR) 指数广义自回归条件异方差(EGARCH)模型 

分 类 号：F830.91[经济管理—金融学]