国家金融稳定政策引导市场投资者情绪预期的效应研究  

An Empirical Study on How National Financial Stability Policies Affect Investors'Sentiment Expectations

作　　者：杨健垒 郝希文 Yang Jianlei;Hao Xiwen

机构地区：[1]中国人民银行金融研究所 [2]山东大学经济学院

出　　处：《投资研究》2024年第12期130-150,共21页Review of Investment Studies

基　　金：“国家资助博士后研究人员计划”资助(GZC20233084)。

摘　　要：本文采用事件研究法系统考察了2018年以来,国家发布扩张性金融稳定政策期间,股票市场情绪预期的反应。研究发现,我国金融稳定政策可以有效引导市场投资者情绪预期。进一步研究表明,不同类型的政策效果存在差异。异质性分析的结果显示,金融稳定政策的正向影响对于小市值风格市场指数更显著,材料、医药和通信等涉及高新技术领域行业的股票对金融稳定政策表现出更强的反应。在市场处于不同状况下,金融稳定政策效应在熊市时更显著。This study examines the market sentiment response during the period of expansionary policy announcements by the Financial Stability and Development Committee of the State Council since 2018,using an event study approach.The research findings indicate that China's financial stability policy can effectively guide market investors'sentiment expectations.Further research indicates that different types of policies exhibit varying effects.The results of the heterogeneity analysis indicate that the positive effects of financial stability policies are more pronounced for market indices characterized by small market capitalizations.Stocks in sectors involving high-tech fields such as materials,pharmaceuticals,and telecommunications exhibit stronger responses to financial stability policies.Moreover,the impact of these policies is more significant during bear market conditions.

关 键 词：金融稳定政策 投资者情绪 股票收益 

分 类 号：F832.51[经济管理—金融学]