投资者情绪与股票收益波动溢出效应

A Study on Spillover Effects between Investor Sentiment and Stock Returns

应用向量GARCH模型检验了我国投资者情绪与股票收益波动的关系,并且将情绪分为理性和非理性两类,分别探讨其对股票收益波动的影响。实证结果表明,股权分置改革前,股票收益与投资者情绪间存在双向波动溢出效应,其中,理性情绪与非理性情绪对股票收益的影响相反;改革后,情绪与组合收益间的波动关系明显减弱。投资者情绪变化与股票收益较强的相关性对于把握市场信息的传递过程以及预测未来股票收益波动具有现实意义。

Using the multivariate GARCH models, this paper investigates the relationship between investor sentiment and stock return volatility. After separating the emotion into rational and irrational sentiment, the results show that before the revolution, there was spillover effect existing between sentiment and stock returns while the rational and irrational sentiment had quite different effects on stock return volatility; after the revolution, the relationship between investor sentiment and stock returns clearly waned. The strong relationship between investor sentiment and stock returns has practical meaning for comprehending the informational transfer and forecasting the stock return volatility.