中国投资者市场情绪生成模式经验研究——基于情绪指数的证据

Empirical Analysis of Investors' Sentiment Forming Pattern in Chinese Stock Market——Evidence from Sentimental Indexes

研究发现个人投资者与机构投资者市场日情绪指数存在较强相关这一特征事实。运用Kalm an滤波和瞬时W iener-G ranger因果检验等经济计量分析方法探讨这一特征事实背后的原因,结果表明:投资者情绪生成本质上是不一致的;经验数据表现出的较强相关源于情绪的相互关联;投资者市场日情绪生成呈现出放大传递模式。

Adopting the ways of Kalman Filter and Wiener-Granger Instantaneously Causality Test, we analyze the strong correlation between the sentimental indicators of daily individual investors and those of institution investors. We find that investors＇ inter-influence on investing attitude can explain the stylized fact, and daily investors＇ sentiment shows a pattern of magnification and spread. These conclusions can help us master and verify investors＇ character of psychology and behavior.