投资者情绪与股价跳跃——基于沪深300指数的研究

Investor Sentiment and Stock Price Jump A study based on CSI 300 index

本文以沪深300指数相关数据构建投资者情绪,并将投资者情绪划分为积极和消极状态;同时采用LM跳跃识别方法检验沪深300指数的跳跃成分,最后构建模型考查不同状态的投资者情绪对股价跳跃的影响作用。研究结果表明:在全样本回归中,投资者情绪对股价跳跃没有明显的推动作用,而分开讨论积极与消极情绪的模型具有更好的拟合效果,积极的投资者情绪对股价跳跃收益具有正向作用;消极的投资者情绪对股价跳跃收益具有显著的负向作用,容易造成股价的跳跃。

This paper constructs investor sentiment based on the relevant data of CSI 300 index,and divides investor sentiment into positive and negative states;At the same time,LM jump identification method is used to test the jump components of CSI 300 index.Finally,a model is built to examine the impact of investor sentiment in different states on stock price jump.The results show that:in the full sample regression,investor sentiment has no significant effect on stock price jump,The positive investor sentiment has a positive effect on stock price jump return;Negative investor sentiment has a significant negative effect on stock price jump return,which is easy to cause stock price jump.