噪音交易、投资者情绪波动与股票收益

Noise trading,investor sentiment volatility and stock returns

通过对Delong etc的噪音交易理论模型的修正,分析了投资者情绪对股票收益的影响机理.选择市场换手率、封闭式基金折价和投资者开户增长率作为间接投资者情绪指数,应用因子分析法构造综合投资者情绪指数,并应用OLS和GARCH-M回归分析方法对中国股市投资者情绪及波动与股票收益间关系进行实证分析.结果显示,投资者情绪是影响股票价格的系统因子,股票价格随着投资者情绪波动而波动,而且情绪的上涨和下降对股票价格的影响是不对称的,情绪上涨对股票价格的影响要比下降强的多;因投资者情绪波动而产生的股票收益波动构成市场系统风险并得到了相应的风险溢酬.

This paper analyzes the mechanism of investor sentiment impact on stock price based on the noise trading theory of Delong etc.The stock turn over,close-end discount and the growth of investor accounts are choosed.And composite sentiment index is made by using method of factors analysis.The relationship between investor sentiment and stock returns in China s stock market are tested by the regression method of OLS and GATCH-M.The results show that investor sentiment is a systematic factor in forming stock pri...