新冠疫情背景下投资者情绪对股市板块波动的影响研究——基于医药板块和公用事业板块的证据  

The Impact of Investor Sentiment on Stock Market Sector Volatility in the Context of COVID-19——Evidence from the Pharmaceutical Sector and the Utilities Sector

作　　者：叶俊杰 段江娇[1] Junjie Ye;Jiangjiao Duan(School of Management,University of Shanghai for Science and Technology,Shanghai,200093,China)

机构地区：[1]上海理工大学管理学院,上海200093

出　　处：《管理科学与研究（中英文版）》2023年第9期157-169,共13页Management Science and Research

摘　　要：自2020年以来新冠肺炎疫情席卷全球,不仅对人类的生命健康造成了极大威胁,还对金融市场造成了巨大冲击,导致全球经济衰退。在新冠疫情肆虐的背景下,研究投资情绪对股市板块波动率的影响具有十分重要的现实意义。本文运用主成分分析法构建投资者情绪指标,并基于文本因子构造恐慌指数,再分别对医药板块指数和公用事业板块指数建立TGARCH-M模型以分析恐慌指数和投资者情绪对板块波动的影响。实证结果表明,两个板块的序列均存在显著的波动聚集效应,但不存在不对称效应。其中,新冠恐慌指数对于医药板块波动率影响是显著的,并且呈现出正向的影响,却对于公用事业波动率的影响不显著,而投资者情绪对两个板块的影响均不显著。但新冠恐慌指数和投资者情绪的交互项对医药板块波动率的影响是显著的,而对公用事业板块不显著。这一结果与研究预期假设相符,有利于帮助我们更好地理解股市板块波动的影响因素,从而采取相关措施进行防范与化解。COVID-19,which has been sweeping the world since 2020,has not only posed a great threat to human life and health,but has also had a huge impact on financial markets and led to a global economic recession.Against the backdrop of the raging COVID-19,it is of great practical importance to study the impact of investment sentiment on the volatility of stock market sectors.This paper uses principal component analysis to construct investor sentiment indicators,and constructs panic indices based on textual factors,and then builds TGARCH-M models for the pharmaceutical sector index and the utilities sector index respectively to analyze the impact of COVID-19 Panic Index and investor sentiment on sector volatility.The empirical results demonstrate that there is a significant volatility aggregation effect for both sector series,but not a significant asymmetric effect.In particular,the impact of COVID-19 Panic Index on pharmaceutical sector volatility is significant and shows a positive effect,and the impact of the epidemic on utilities volatility is insignificant,while the impact of investor sentiment on both sectors is insignificant.However,the interaction term between the COVID-19 Panic Index and investor sentiment is significant for the pharmaceutical sector volatility,while it is not significant for the utilities sector.This result is in line with the hypothesis of the study and helps us to better understand the factors influencing the volatility of the stock market sectors and thus take relevant measures to prevent and mitigate them.

关 键 词：新冠 恐慌指数 投资者情绪 波动率 

分 类 号：F83[经济管理—金融学]