基于不同板块的投资者情绪效应研究

Effect of Chinese Investors' Sentiment:Based on the Empirical Research of Different Industries

为研究投资者情绪对中国股票市场不同行业板块波动的影响,利用主成分分析法构建改进的投资者情绪指数,将投资者信心指数引入到指数编制指标中,并剔除争议较大的封闭式基金折价代理变量。在此基础上,构建个体固定效应模型,对A股市场19个行业板块指数的对数月收益率进行深入分析。结果表明,情绪对有色金属、电子信息、房地产、机械、银行等行业影响较大,而对运输物流、供水供气、汽车、医药等行业影响不太明显。

This paper investigates the effects of Chinese investors＇ sentiment on different industries in Chinese stock market,using principal components analysis to construct improved investors＇ sentiment and introducing the investors ＇ confidence index instead of the controversial variable of closed-end fund discount.By employing the fixed effects model,we further analysis 19 different industries＇ indices.The empirical results imply that investors＇ sentiment show strong effect on the industries of nonferrous metal,electronic information,real estate, mechanical and bank,but slight on the industries of transportation, car and medicine.