中国证券市场投资者情绪研究

在证券市场中,投资者情绪可以视为证券市场走势的"风向标"或是衡量市场"冷热"程度的"体温计"。本文利用封闭式基金折价率以及认购权证隐含波动率间接反映中国证券市场的投资者情绪,研究中国证券市场投资者情绪与市场走势之间的关系。研究结果表明,封闭式基金折价率可以间接反映机构投资者情绪,认购权证隐含波动率可以间接反映个人投资者情绪;投资者情绪显著影响市场收益率与收益的波动性,投资者情绪变化是影响市场收益的系统性因素,投资者情绪对未来市场收益与市场收益的波动性均有较强的预测能力。

In securities market, investor sentiment can be regarded as the indicator reflecting the market trend. This paper studies the relationship between market trend and investor sentiment, which is represented by the closed-end fund discount rate and call warrant implied volatility. The results show that the closed-end fund discount rate and call warrant implied volatility can reflect institutional investor sentiment and individual investor sentiment respectively. Moreover, investor sentiment remarkably affects market return and volatility, and it is useful to forecast the market return and volatility in the future.