投资者情绪测度及其对股票收益的时变影响研究  

Investor Sentiment Measure and Its Time-varying Impact on Stock Returns

作　　者：龙威 佟彤 丁一[2] Long Wei;Tong Tong;Ding Yi(School of Economics and Management,Changchun Normal University,Changchun 130032,China;School of Finance,Jilin University of Finance and Economics,Changchun,130117,China)

机构地区：[1]长春师范大学经济管理学院,吉林长春130032 [2]吉林财经大学金融学院,吉林长春130117

出　　处：《数量经济研究》2024年第4期147-167,共21页The Journal of Quantitative Economics

基　　金：吉林省科技厅创新发展战略研究项目“吉林省农村数字普惠金融支撑乡村振兴战略的路径研究”(20220601111FG)的资助。

摘　　要：投资者决策行为有着复杂的情绪因素影响,投资者情绪通过情绪投资者的非理性交易行为对股票价格及其收益造成系统性影响。本文通过改进的BW指数方法构建剔除宏观经济因素影响的投资者情绪综合指数对投资者情绪进行测度,并运用TVPVAR模型对投资者情绪影响我国整体股市及不同行业收益的时变效应进行探究。研究表明,投资者情绪的高涨在短期内会提升市场整体收益水平,其中尤其以工业及能源等周期性行业影响最为显著,而对于非周期性行业投资者情绪冲击影响的顺周期性特征则较弱。除公用行业外,各行业板块收益均在牛市阶段对投资者情绪更为敏感,但这一敏感程度正随着我国证券市场的不断成熟而下降。特别地,熊市阶段中的投资者情绪冲击虽在短期内能够提振市场信心,但这一影响会迅速转为抑制作用,且其持续时间普遍长于牛市阶段。Investor sentiment has a systematic impact on stock prices and returns through the irrational trading behavior of emotional investors.This paper uses the improved BW index meth⁃od to construct a composite index of investor sentiment excluding macroeconomic effects to measure investor sentiment,and uses TVP-VAR model to study the time-varying effects of in⁃vestor sentiment on the stock returns of the whole market and different industries in China.The results show that the upsurge of investor sentiment will improve the overall market return in the short term,especially for the cyclical industries such as industry and energy,the impact is the most significant,while the impact of investor sentiment on the non-cyclical industries is weak.Except the public sector,the returns of all industries are more sensitive to investor senti⁃ment in the bull market stage,but this sensitivity is declining with the maturity of securities market.In particular,although the impact of investor sentiment in the bear market can boost the market in the short term,the impact will quickly turn into a damper,and its duration is generally longer than that in the bull market.

关 键 词：投资者情绪 股票收益 TVP-VAR模型 

分 类 号：F832[经济管理—金融学]