乐观和悲观情绪如何驱动市场反馈交易行为?——基于噪音交易者和理性交易者共同作用的视角  

How Does Optimistic and Pessimistic Sentiments Drive Market Feedback Trading Behavior?

作　　者：陈健[1] 曾世强 Chen Jian;Zeng Shiqiang

机构地区：[1]上海师范大学商学院 [2]上海应用技术大学经济与管理学院

出　　处：《投资研究》2023年第6期127-141,共15页Review of Investment Studies

基　　金：教育部人文社科规划基金项目“投资者情绪冲击股票市场稳定性的传播扩散机制研究”(17YJA790010)。

摘　　要：本文从理论和实证层面研究乐观和悲观情绪如何驱动噪音交易者追涨杀跌和高抛低吸,以及理性交易者骑乘和套利,最终形成市场反馈交易行为。研究发现,噪音交易者主导的小盘指数中市场反馈交易行为不显著;上证A股指数和50指数中显著为正的市场反馈交易行为由理性交易者追涨骑乘所致。高波动促进了中国股市追涨骑乘强于高抛套利和美国股市高抛低吸强于追涨杀跌;融资融券的引入对中国股市负反馈交易强度的提升大于正反馈交易。This paper studies how optimistic and pessimistic sentiment drive noise traders to chase up and kill down,sell high and buy low,and trigger rational traders to ride and arbitrage,and form market feedback trading behavior from the theoretical and empirical levels.The results show that the market feedback trading behavior in the SSE Small Cap Index dominated by noise traders is insignificant.The significant positive market feedback trading behavior in SSE A-share Index and SSE 50 Index is mainly caused by riding to catch up of rational traders.The high volatility promotes that the riding to catch up is stronger than the high selling arbitrage in China stock market and the high selling and low buying is stronger than the chasing up and killing down in US stock market.The introduction of margin trading has a greater impact on the intensity of negative feedback trading than positive feedback trading in China stock market.

关 键 词：反馈交易 噪音交易者 理性交易者 情绪驱动 

分 类 号：F832.51[经济管理—金融学]