中国机构投资者情绪与股票收益关系研究被引量：22

An Empirical Analysis on Institutional Investor Sentiment and Stock Returns in China

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摘要基于机构投资者情绪的实际情况修正DSSW模型,分析机构投资者情绪对股票收益的影响机制。以"中国证券分析师指数"作为中国机构投资者的情绪指数,应用GARCH模型对中国沪、深两市机构投资者情绪及其波动与股票收益间关系进行实证分析,结果表明中国机构投资者情绪存在一阶自回归,方差为异方差;机构投资者情绪是影响股票收益的重要因素,其情绪波动(方差)也对股票收益产生一定影响,但未形成系统风险。 This paper analyzes the mechanism of institutional investor sentiment impact on stock price based on the advised DSSW model.Use ＂China Securities analyst index＂ as institutional investor＇s sentiment index,test the relationship between institutional investor＇s sentiment and stock returns in China＇s stock market by GARCH model.It proves that the sentiment from the institution investors is the chief element to influence the price of stock.As well,their fluctuations play a certain effects on it but not lead to the systemic risks.

作者姚德权黄学军杨光

机构地区湖南大学工商管理学院中国人民银行广州分行

出处《湖南大学学报（社会科学版）》 CSSCI 北大核心 2010年第6期46-50,共5页 Journal of Hunan University(Social Sciences)

基金教育部新世纪优秀人才支持计划(NCET-08-0186) 高校博士点专项科研基金项目(200805320025)

关键词噪声交易机构投资者情绪股票收益 noise trading institution investor sentiment stock returns

分类号 F830.59 [经济管理—金融学]

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