投资者情绪与股市短期波动的关系研究——对2015年中国股市的考察

Investor Sentiment and the Short-term Volatility of Stock Market:on What Happened in China in 2015

2015年中国股票市场出现了较快的大幅上涨和下跌,其中的原因是多重的,而受心理作用影响的投资者行为一直以来被认为是影响资产价格波动的一项重要因素。本文利用投资者情绪的代理变量考察了2015年股票市场的短期波动与个人和机构投资者情绪的关系,并进一步探讨了可能影响投资者情绪的典型因素,以期结合实际反映中国股票市场上的投资者情绪特征和市场的有效性。结果发现,2015年中国股市波动受到了个人投资者情绪的影响,整体上符合DSSW模型中噪音交易者风险可能造成股价反转的特征。

The stock market in China in 2015 has experienced both surge and slump. Among the many reasons that may explain the volatility, investors＇ sentiment which play an important role on their behavior have been regarded as a valuable one. In this paper, we use the proxy variable of investor sentiment to study the volatility of Chinese stock market in 2015. Further, we found some reasons that immediately connected with investors＇ sentiment, so as to observe the fact that happened in stock market and reflect the efficiency of stock market in term of behavioral finance. The results show that the volatility of Chinese stock market and investor sentiment were coherent, and the results generally fit in with the theory that noise trader risk may results the reversal of stock price in DSSW model.