市场情绪与股指收益的联动性研究

Linkage Studies of Market Sentiment and Stock Returns

依据2010~2015年可以获得的封闭式基金折价率等市场情绪代理变量,利用主成分分析构建市场情绪指数,对其进行实证分析。运用年化算法验证不同频率的市场情绪的影响力,最后依据混频数据抽样模型构建混频市场情绪,考察混频市场情绪与股指收益之间的联动关系。结果表明,各个频率的市场情绪都是该频指数收益率的正向影响因子,而且其对收益率的影响力随着时间推移而单调递减,混频市场情绪未必优于同频市场情绪。

The Linkage between market sentiment and stock returns was studied with annual algorithm and Mixed Data Sampling Regression Models.The market sentiment was built by principal component analysis using closed-end fund discount rate and other market sentiment proxy variables between 2010 and 2015.The results show that market sentiment is the same frequency returns,positive factor,and the influence of sentiment on stock returns decreases over time.In addition,mixing market sentiment isn＇t always better than the same frequency market sentiment.