外部冲击对我国投资者情绪的影响分析

The Impact of External Shocks on Chinese Investors' Sentiment

使用二阶段主成分分析法构建出投资者情绪综合指数,选取国际原油价格指数、人民币汇率价格指数和国际股票价格指数作为外部冲击指标,应用VAR模型研究了2007年2月至2015年3月期间外部冲击对我国投资者情绪的影响。结果表明:在多因素外部冲击下,国际股票市场的冲击对投资者情绪影响最大,投资者对国际股票市场的冲击反应最迅速也最剧烈,影响程度次之的是外汇市场冲击,而原油商品市场冲击对投资者情绪影响最弱。

This paper uses two-stage principal component analysis to construct the investors＇compositive senti- ment index and takes international crude oil price index, RMB exchange rate index, and international stock price index as the external shock index. It explores the impact of external shocks on the investors＇ sentiment in China from March 2015 to February 2007 with the VAR model （vector auto--regressive model）. The results show that the strongest impact on investors＇ sentiment comes from the international stock market, to which the investors tend to respond most rapidly and intensely, followed by the foreign exchange market and the crude oil commodity market.