投资者情绪与上证股票市场收益的实证研究

Research on Demonstration of Investor Sentiment and Stock Returns of Shanghai Stock Exchange

利用较新的数据,研究了投资者情绪对中国股票市场收益的影响,选择换手率和封闭式基金折价作为间接的投资者情绪指标,并利用主成分分析构造出一个综合的投资者情绪的替代变量。利用回归分析方法,研究了情绪对股票收益的影响:当期的情绪与收益显著正相关,但是没有预测能力。利用向量自回归的方法,研究了投资者情绪与股票收益的相互关系,并采用Granger因果检验进行了深入的研究。最后将样本期分为股改前与股改后,研究发现投资者情绪与股票收益在股改前显著正相关,股改后相关性却不再显著。

The paper was researched effect of investor sentiment on China's stock market returns by using new data. Then, the paper was built a comprehensive substitution variable of investor sentiment by choosing turnover rate and closed-end fund discount as an indirect indicator of investor sentiment and using principal component analysis. Using method of regression analysis, the paper was researched impact of sentiment on stock returns: Current sentiment positively correlated with income, but no predictive power. Using method of vector auto-regression, the paper was researched mutual relations of investor senti-ment and stock returns. By using Granger causality test, the paper was deeply researched the relations. Finally, the sample period was divided into before and after share-reform. The paper was found investor sentiment and stock returns in the share reform were significantly positively related to the share reform, after the share reform correlation does not reassert.