中国证券市场的投资者情绪研究

Investor Sentiment in Chinese Stock Market

从行为金融学角度,以2004年1月～2008年6月中国证券市场基金和股票的交易数据为研究样本,采用面板数据模型和动态组合分析方法系统考察中国投资者情绪与股票收益率、股票的市场关注程度、公司规模之间的联系。通过建立基于资金流量的投资者情绪指标,详细探讨投资者情绪对不同股票收益率变化的敏感性,揭示投资者情绪的形成原因、影响因素及其变化趋势。研究结果表明,股票收益率的波动随着投资者情绪的提高而增强;市场关注度越高的股票,投资者赋予的情绪越低;投资者对股票的情绪波动随着公司规模的增加而减弱。实证检验的结果验证了投资者情绪在中国股票市场中的重要作用,因此关于证券市场投资者情绪运行模式的研究对于中国资本市场泡沫的预警、监管机构制定政策都具有现实意义。

This study employed the dynamic combination approaches and panel data models to test the relationship between investor sentiment and stock returns,stock capitalization and attention grabbing stocks based on Chinese stock market from January 2004 to June 2008.According to the empirical research,we investigate the formation and changes of investor sentiment measured by mutual fund flows as well as the sensitivity of sentiment to stock returns.The results show that the volatility of stock returns increases with the investor sentiment.In addition,investor sentiment is comparatively lower to those stocks with higher market attention.Moreover,investor sentiment to large-capitalization stocks is less volatile than that to the small-capitalization stocks.This empirical study presents evidence that investor sentiment plays an important role in Chinese stock market.The study on investors′ sentiment and behavioral biases has important significance to the prediction of stock market bubbles and the policy formulation.