投资者情绪对白酒板块收益率的影响研究

Study on the Impact of Investor Sentiment on the Rate of Return of the Liquor Sector

文章将投资者情绪指数(CICSI)作为中国股票市场投资者情绪的代表,选取2013年3月—2023年8月的国证白酒指数作为白酒板块的代表,利用VAR模型对中国的股市投资者情绪指数与白酒板块股票收益率之间的关系进行了研究。研究结果表明,投资者情绪指数与白酒板块收益率存在双向的影响,滞后一期的投资者情绪指数对白酒板块的收益率有正向影响,而长期存在反转效应;白酒板块收益率则对下一期的投资者情绪产生明显的正向作用。

This paper uses the China Investor Confidence Sentiment Index(CICSI)as a representative of investor sentiment in the Chinese stock market,and selects the Guozheng Liquor Index from March 2013 to August 2023 as a representative of the liquor sector.The relationship between the Chinese stock market investor sentiment index and the rate of return in the liquor sector is studied using VAR model.The research results show that there is a bidirectional influence between the investor sentiment index and the rate of return in the liquor sector.The lagged investor sentiment index has a positive impact on the rate of return in the liquor sector,but there is a long-term reversal effect.And the rate of return in the liquor sector has a significant positive effect on the investor sentiment of the next period.