投资者情绪指数及中国股市的实证

黄德龙;文凤华;杨晓光.

系统科学与数学 ›› 2009, Vol. 29 ›› Issue (1) : 1-13.

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系统科学与数学 ›› 2009, Vol. 29 ›› Issue (1) : 1-13. DOI: 10.12341/jssms10109
论文

投资者情绪指数及中国股市的实证

    黄德龙(1), 文凤华(2), 杨晓光(2).
作者信息 +

Investor Sentiment Index and Empirical Evidence from China's Stock Market

    HUANG Delong(1), WEN Fenghua(2), YANG Xiaoguang(2).
Author information +
文章历史 +

摘要

准确度量投资者情绪,有助于深刻理解市场,进行有效的监管和制定正确的投资策略.从重新界定投资者情绪的定义出发,对投资者情绪与当期收益的关系进行了理论演绎,总结出5条有关投资者情绪与当前收益关系的假说.依据可以获得的投资者情绪代理变量,利用主成分分析构建了中国证券市场投资者情绪指数,进而利用EGARCH模型实证检验了上述5条假说.实证结果表明,理论演绎与市场实际运行有很好的相合性.

Abstract

Investor sentiment can help people to correctly understand the mechanism of stock market, which further can be used to market regulation and investment strategy. On the basis of a comprehensive definition of investor sentiment, a theoretical analysis about the relationship between investor sentiment and spot return is given, and five hypotheses of investor sentiment are concluded. With the available proxies, the principal component analysis is used to build an investor sentiment index for China's stock market. EGARCH models are used to evaluate how movement of sentiment affects spot return and the different effects towards different types of stocks. These empirical results provide a good support for the theoretical analysis.

关键词

投资者情绪 / 当期收益 / 情绪与收益假说 / 投资者情绪指数.

Key words

Investor sentiment / spot return / sentiment hypothesis / investor sentiment index.

引用本文

导出引用
黄德龙 , 文凤华 , 杨晓光.. 投资者情绪指数及中国股市的实证. 系统科学与数学, 2009, 29(1): 1-13. https://doi.org/10.12341/jssms10109
HUANG Delong , WEN Fenghua , YANG Xiaoguang.. Investor Sentiment Index and Empirical Evidence from China's Stock Market. Journal of Systems Science and Mathematical Sciences, 2009, 29(1): 1-13 https://doi.org/10.12341/jssms10109
中图分类号: 91B25   
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