STAR-GARCH模型与股票市场投资策略非线性

STAR-GARCH Model and Nonlinearity of Investment Strategies of Chinese Stock Markets

本文首次基于投资者异质性和行为金融理论,从投资者风险偏好的角度度量市场情绪,应用STAR-GARCH模型,对我国股票市场投资策略的非线性转换进行了实证研究。研究结果表明:(1)我国股票市场投资策略表现出明显的两机制,说明我国股票市场存在显著的投资者异质性;(2)当市场情绪指数分别为0.06和0.046时,沪深股票投资策略处于中间机制,表现为偏向理性投资策略,而当市场情绪指数大于约0.6或小于约-0.5时,沪深股票投资策略处于外机制,表现为偏向噪音交易策略,在两种机制间,存在着投资策略的非线性转换;(3)当沪深股票投资策略处于中间机制时,股票市场日收益率平均波动更小,因而表现得更稳定。

According to the theory of heterogeneous agent and behavioral finance, this paper firstly makes an empirical study of nonlinear transition investment strategies of Chinese stock market. The results are shown as follows. Firstly, there exist significant two regimes about investment strategies of Chinese stock markets, and therefore heterogeneous agents are shown significantly in Chinese stock markets. Secondly, when investor sentiment index amounts to 0.06 and 0.046 respectively, investment strategies of Hu and Shen stock markets are in the state of middle regime, and the rational investment strategy is preferred .When investor sentiment index is more than 0.6 or less than -0.5 or so respectively, investment strategies of Hu and Shen stock markets are in the state of outer regime, and the noise trade investment strategy is preferred. Nonlinear transition is happened between two regimes. Finally, when investment strategy in the middle regime, there is a less daily averaged volatility, and therefore the markets are more stable.