中国股市投资者情绪测量研究:CICSI的构建

Research on the Measurement of Investor Sentiment in Chinese Stock Market: the CICSI's Construction

投资者情绪研究的关键在于情绪的度量。以往人们主要采用封闭式基金折价等单个指标来度量投资者情绪的变化,然而,这些方法均存在着测量指标过于单一和测量结果不够纯正等问题。为改进这些问题,本文在封闭式基金折价、IPO数量及上市首日收益、消费者信心指数和新增投资者开户数等6个单项情绪指标的基础上,构建了一个能较好测度中国股票市场投资者情绪的综合指数(CICSI),同时控制了经济基本面因素对情绪的影响。

The measurement of sentiment is the key issue for investor sentiment research. In the past people usually took discount of closed-end funds as an indicator to directly measure the changes of investor sentiment. However, there are two problems in the measures, that is measure indicator too single and the results are not pure enough. In order to overcome the shortcomings, the authors build a suitable measure of investor composite sentiment index in Chinese stock market（CICSI）,this index based on 6 individual sentiment indication,i.e. the elosed-end funds at a discount,funds at a discount, trading volume, IPO and the first day return of IPO, consumer confidenee and new investor accounts, and eliminate the impact of macro-economic cycle.