基于主成分分析的投资者情绪指数的构建

Construction of Investor Sentiment Index Based on Principal Component Analysis

投资者情绪作为影响股票市场收益的重要因素,一直是金融学研究的重点与难点。以2003年1月至2012年12月沪深A股上市公司的交易数据为研究对象,选取封闭式基金折价、成交量、消费者信心指数、新开户数4个指标,通过主成分分析构造投资者情绪指数并检验其合理性。

Investor sentiment, as important factors that affect earnings of the stock market, is always emphasis and difficulty of finance research. Taking transaction data of A stock listed company from January 2003 to December 2012, the paper was chose 4 indexes of closed-end fund discount, trading volume, confidence index of consumer and new amount of opening an account, and tested the rationality by principal component analysis.