投资者情绪、资产估值与股票市场波动

Investor Sentiment,Asset Valuation,and the Volatility of Stock Market

本文研究了在不同估值水平下投资者情绪对于股票市场波动性影响的差异。我们发现,在市场不同的估值阶段,投资者情绪对波动性的影响有很大差异。当市场处于高估值期时,非理性情绪对波动性有显著影响,理性情绪的影响不显著;当市场处于低估值期时,理性情绪对波动性有显著影响,非理性情绪的影响不显著。此外,理性情绪对大盘股波动性的影响更大,非理性情绪则对小盘股波动性的影响更大。本文的结果表明,人的贪婪与恐惧是金融市场中天然的不稳定因素,理性投资者与非理性投资者都是市场波动性的制造者,理性投资者并不具有稳定市场的作用,情绪仍然是情绪。

This paper studies the differences of the way that investor sentiment influences the volatility of stock market under different valuation levels. We find that, when the market valuation is high, irrational sentiment has significant impacts on the volatility of stock market and rational sentiment shows no significant influence. When market valuation is low, the reverse is true. Besides, we find that rational sentiment has greater impacts on tile volatility of large scaled stocks and irrational sentiment has greater impacts on small size ones. The re- sults of this paper show that the greed and fear are the natural destabilizing factor of financial markets. Both ra- tional and irrational sentiments are the generator of market volatility. Rational investor does not have the role of stabilizing the market, sentiment is still emotional.