基于投资者情绪的股市波动非对称性研究

Research on Asymmetric Volatility of Stock Market——Based on Investor Sentiment

大量的金融学和心理学文献表明人们的心理和情绪相当复杂,而行为金融学理论证明,投资者在做决策时会由于很多认知偏差和情绪影响导致决策的不合理和决策方式的非理性。对于还处在发展阶段的我国股票市场,引入行为金融学投资者情绪的研究将具有重大的意义。而股市波动的不对称性则是金融市场普遍存在的一种现象。通过对比加入投资者情绪前后的E-GARCH模型,对我国上证股市波动性进行了研究。研究结果表明,在我国股票市场投资者情绪是影响股市收益波动非对称性的系统性因子,外来消息进入后通过投资者情绪进行传导,使股市收益波动非对称性明显加强,悲观情绪比乐观情绪更能影响市场收益的波动。

Large numbers of financial and psychology researches suggest that the minds and emotion of human are quite complex. And the theories of behavioral finance demonstrated that investors will make the unreasonable decision or take the irrational decision-making due to the cognitive deviation and emotional impact. Consequently, the research of investor sentiment with the introduction of behavior finance will be significant since the stock market is still in the developing period in our country. Besides, the asymmetry of the volatility in the stock market is a common phenomenon in financial markets, thus the main content of this paper is studying on the asymmetric volatihty of stock market under the theory of investor sentiment by E - GARCH model. The results show that investor sentiment of Chi- nese stock market is the systematic factor to asymmetric volatility of stock market. Outside news enhances the asyinInetric volatility of stock market through conducting to the investor. Pessimism makes more effects on the market gains than optimism.