极端投资者情绪对股价指数影响的非对称研究

Asymmetric Relationship between Extreme Investor Sentiment and Stock Index

考虑到投资者情绪受多种因素影响以及不同情绪对股价指数的影响不同,对长短期投资者情绪的代理变量——月和周好淡指数进行年度、月度和节日调整,并依据其偏离均值的方向和幅度,将情绪分为极端和非极端、乐观和悲观四类。进一步,通过建立回归方程,实证检验投资者情绪,特别是极端情绪对股价指数的影响。研究发现:非极端和极端情绪对股价指数的影响是不同的;极端乐观和极端悲观情绪对股价指数影响是不对称的;短期极端悲观和长期极端悲观情绪对股价指数影响是反向的。

In terms of the multifactor effects on investor sentiment and different effects of investor ~ntiment on stock index, this paper adjusts the indicator of short- and long-term investor sentiment -- weekly and monthly HAODAN index- for time trend and holiday effect. Then we sort the investor sentiment by the deviation level and direction from the mean into four sets： （non-）extreme optimistic and （non-）extreme pessimistic. Moreover, we structure a regressive model to investigate the impacts of investor sentiment, especially extreme investor sentiment on stock index. The results imply that： （1） the impact of extreme and non-extreme sentiment on stock index is different; （2） the impact of extreme optimistic sentiment and extreme pessimistic sentiment on stock index is asymmetric; （3） the impact of short- and long-term extreme pessimistic sentiment on stock index is negative.