投资者情绪对沪深A股行业收益的影响比较  

Comparison of the Impacts of Investor Sentiment on the Returns of Shanghai and Shenzhen A-share Industries

作　　者：曾剑云[1] 孟昊 马珒 Zeng Jianyun;Meng Hao;Ma Jin

机构地区：[1]湖南科技大学商学院 [2]中国工商银行昆山分行 [3]中共定安县委党校

出　　处：《常州大学学报（社会科学版）》2024年第6期33-47,共15页Journal of Changzhou University:Social Science Edition

基　　金：国家社会科学基金一般项目“贸易政策不确定性下RCEP推动我国产业链供应链稳定的机制研究”(21BJL111)。

摘　　要：沪深A股同行业收益的显著差异表明,投资者情绪研究定位应由整个市场拓展至行业,行业投资者情绪与市场投资者情绪对A股行业收益的影响因沪深股市大盘股地位的差异而不同。以2012—2023年沪深A股市场28个行业日度数据为样本,构建、测度市场投资者情绪和行业投资者情绪,采取变系数个体固定效应模型进行比较研究。研究发现:对沪深A股行业当期收益、预期收益的影响行业投资者情绪超过市场投资者情绪,对沪深A股情绪敏感行业预期收益的反向修正作用范围,行业投资者情绪超过市场投资者情绪;行业投资者情绪、市场投资者情绪对A股行业当期收益、预期收益的影响深市超过沪市,反向修正A股情绪敏感行业预期收益的行业数量深市超过沪市;沪深A股牛熊市交易天数远不及中性市,A股中性市交易天数沪市约为深市的1.2倍;与牛熊市相比,中性市下行业投资者情绪、市场投资者情绪对沪深A股行业当期收益、预期收益的影响均减弱,对情绪敏感行业预期收益的反向修正作用范围缩小,两类投资者情绪影响的非对称性在沪市表现更明显。Significant differences in returns of the same industry between Shanghai and Shenzhen A-share markets indicate that the research of investor sentiment should extend beyond the overall market to specific industries.The impacts of industry investor sentiment and market investor sentiment on A-share industry returns vary due to the contrasting roles of large cap stocks in Shanghai and Shenzhen stock markets.Using daily data from 28 industries in Shanghai and Shenzhen A-share markets between 2012 and 2023,to construct and measure market investor sentiment and industry investor sentiment and employ a variable-coefficient individual fixed-effects model for empirical analysis,the results indicate that industry investor sentiment has a greater impact than that of market investor sentiment on both current and expected returns in Shanghai and Shenzhen A-share industries.Additionally,in sentimentsensitive industries,the reverse correction effect on expected returns by industry investor sentiment is broader than that by market investor sentiment;the impact of industry investor sentiment and market investor sentiment on the current and expected returns is more pronounced in the Shenzhen Stock Exchange than in the Shanghai Stock Exchange.The number of sentiment-sensitive industries experiencing reverse corrections in the Shenzhen Stock Exchange exceeds that in the Shanghai Stock Exchange.Trading days in the bull and bear markets for Shanghai and Shenzhen A-shares are far less than those in the neutral market,with the number of neutral trading days of the Shanghai A-shares being about 1.2 times that of the Shenzhen A-shares.Compared to bull and bear markets,the impact of industry investor sentiment and market investor sentiment on the current and expected returns of the Shanghai and Shenzhen A-share industries in neutral markets is weakened,and the scope of the reverse correction effect on the expected returns of sentiment sensitive industries is reduced.The asymmetry of the impacts of these two types of investor sentiment is m

关 键 词：行业投资者情绪 市场投资者情绪 A股行业收益 沪深股市 

分 类 号：F832.5[经济管理—金融学] F2