中国创业板投资者情绪波动特征以及影响因素研究

A Study on the Characteristics and Influencing Factors of Investor Sentiment in China's GEM

创业板是科技创新类企业资本运作的重要平台,已经成为我国创业创新型企业聚集地。研究以创业板投资者情绪为研究对象,利用问卷形式调查宏观层面、市场层面和公司层面各因素对创业板投资者情绪的影响效应以及创业板投资者情绪的波动特征,结果显示投资者在面对充满不确定性的科创类企业时,公司并购重组、股东增持减持、市场波动、滞后二期市场收益以及政策因素能显著影响投资者情绪,且情绪波动存在明显的非对称效应,更容易受到"好"消息的影响。

The GEM is the capital operation platform for scientific innovation enterprises and has become the biggest entrepreneurial innovation enterprise gathering of China.In this paper,different from previous studies on asset price fluctuations,characteristics and influencing factors of the GEM investor sentiment volatility are explored from the perspective of behavioral finance; it shows that when facing the technology innovation company full of uncertainty,mergers and acquisitions,shareholder holdings,market volatility,lagged second market returns and policy can significantly affect investor sentiment,and ＂good＂news has a greater impact on investor sentiment volatility in GEM.