投资者风格与股票价格波动——基于中国股票市场的研究

Investment style and volatility of stock price:an analysis based on the Chinese stock market

本文基于我国资本市场的不同阶段,利用宏观基本面和微观投资者情绪等因素所形成的市场预期,构造特定的投资者风格,并在考虑融资融券约束的情况下,构建了投资者风格与股价波动之间的动态关联模型。实证结果表明:不同宏微观因素在1998—2004、2005—2010和2011—2015三个阶段内对股价波动的影响存在较大的差异性,提高主动管理程度能够增强风格转换因子、风格代理变量与基金波动率对股价波动特征的解释力;高涨的投资者情绪会增加市场交易的频率,增加市场波动性;但在融资融券约束下,增加主动管理程度却会减弱市场波动性,投资者风格转换次数越多,对股价冲击也越大。

Investment style is a key factor behind the stock price volatility. Using the factors contributing to market ex-pectation like investor sentiment,this paper develops specific investment styles. It then establishes a dynamiccorrelation model,taking the constraint of margin trading into consideration. The empirical study shows the fol-lowing results:(1)Different factors have distinct impact on price volatility in the three periods of Chinese stockmarket(1998~2004;2005~2010;2011~2015):higher active management level can make style translation,investment style and fund volatility factors explain price volatility better;(2)Higher investor sentiment increasesinvestor's trade,thus enhancing stock price volatility;(3)Under the constraint of margin trading,however,high-er level of active management weakens the impact on the market volatility,and the more frequently the invest-ment style switches,the more influence it has on stock price volatility.