投资者情绪对市场风险价格影响

The Influence of Investor Sentiment on the Market Price of Risk

本文利用我国证券市场统计数据研究了个体和机构投资者情绪对风险市场价格(MPR)的影响,实证结果证明了市场对波动的反应是异质性的,并且受投资者情绪变化的影响。具体来看,将投资者情绪分解成理性和非理性成分后,非理性乐观情绪的增加将导致MPR明显的下降,但理性情绪的变动不会对MPR有明显的影响。这意味着当市场投资者情绪是由基础价值变化来决定的时候,市场风险价格不会发生变化。进一步的VAR脉冲响应函数分析结果显示,非理性的乐观或悲观情绪并不受理性情绪波动的影响,这意味着非理性情绪不是由基础风险因素决定的。

The article uses statistical data from China＇s security market to study the influence of individual and institutional investor sentiment on the market price of risk（MPR）.The empirical analysis proves that the response of market to fluctuation is heterogeneous,and is affected by investor sentiment.Specifically,when investor sentiment is decomposed into rational and irrational components,the increase in irrational optimism will lead to a significant downward in MPR,while the fluctuation of rational sentiment has no significant effect on MPR.This means that when investor sentiment is determined by fundamental values,the market price of risk will not change.Further analysis adopting VAR model and impulse response function shows that irrational optimism or pessimism is not affected by rational sentiment,meaning that irrational sentiment is not determined by fundamental risk factors.