牛熊市投资者情绪与上证综指的协整关系研究

Cointegration Analysis on Relation of Investor Sentiment and the Composite Index of Shanghai Stock Exchange

本文选择了《股市动态分析》杂志公布的好淡指数作为测度投资者情绪的指标,与现有研究不同的是,将样本期分成了上升和下降两个不同阶段,利用协整检验和基于ECM的格兰杰因果检验方法分析了投资者情绪与上证综指之间的相互关系。研究表明,在全样本和下降时期,上证综指是投资者情绪的单向格兰杰原因;而在股市上升时期,投资者情绪与上证综指互为格兰杰原因。本文的启示在于,监管当局在引导投资者情绪调控股票市场时,需要立足于股市所处的阶段,不同的阶段需要有不同的调节手段。

This paper regard the Bull/Bear Index in Stock Market Trend Analysis Weekly as investor sentiment index.Differently,this paper has divided a sample time into two stages between rising and descending time.Moreover,this paper makes an empirical analysis on between investor sentiment and the composite index of Shanghai Stock Exchange using cointegration test and Granger causality based on ECM.The results suggest that there is a unidirectional Granger causality from the composite index of Shanghai Stock Exchange to investor sentiment in whole sample time and descending sample time.However,there is bilateral Granger causality between investor sentiment and the composite index of Shanghai Stock Exchange in rising sample time.This article gives suggestion that regulations department should put emphasis on stage of investor sentiment when controlling the rhythm of stock market.