投资者情绪、市场流动性与股市泡沫——基于TVP-SV-SVAR模型的分析

Investor Sentiment,Market Liquidity and Stock Bubbles:An Analysis Based on the TVP-SV-SVR Model

基于2006年1月～2015年12月中国宏观经济和股市的月度数据，采用协整理论和误差修正模型度量股市泡沫，运用主成分分析法构建了投资者情绪综合指数，并结合TVP-SV-SVAR模型分析了投资者情绪、市场流动性对股市泡沫的动态影响效应。研究表明，投资者情绪、市场流动性与股市泡沫之间的关系呈现显著的时变性；市场流动性在牛市中受投资者乐观情绪影响较熊市中受投资者悲观情绪的影响更显著；投资者情绪对股市泡沫的影响不确定，但在股市上行时期影响持续期较长；市场流动性对股市泡沫有正向影响且短期效应明显，流动性紧缩容易刺激泡沫破裂。

Based on the monthly data of macroeconomic variable and the stock market from January 2006 to December 2015 in China, this paper uses co - integration theory and error correction model to extract stock market bubbles, and constructs the investor composite sentiment index through principal component analysis. Then the dynamic associative mech- anisms between investor sentiment, market liquidity and stock market bubble are investiga- ted based on the TVP - SV - SVAR model. The results show that the relation between in- vestor sentiment, market liquidity and stock bubbles change with the change of market situa- tion： the influence of investor~ optimisim on market liquidity in bull market is much more significant than that of investor~ pessimism in bear market; the influence of investor senti- ment on stock market bubble is uncertain, but the effect is of long duration in the upward trend; there is a positive effect of the market liquidity on stock market bubble, while the short -term effect is obvious, and the liquidity crunch has catalytic effect on the bursting of stock market bubble.