我国证券市场投资者情绪测度

Measurement of Investor Sentiment for Chinese Securities Market

本文选取2005~2015年关于消费者信心指数等五个指标的月度数据进行主成分分析,同时剔除了宏观经济变量因素的影响,在信息量损失最小的情况下,完成了变量的降维,得出投资者情绪综合指标。研究结果表明,新建的投资者情绪指数对沪深300指数走势具有一定的预测性,投资者情绪乐观、高涨时,投资者消费和投资倾向于增加;投资者情绪消极则导致购买意愿和风险承担意愿的减少。

This article selects monthly data of five indicators about consumer confidence index from 2005 to 2015 to carry out the principal component analysis.At the same time,it eliminates the impact caused by the macroeconomic variables.In the case of the minimum amount of information loss,the dimension of the variable is completed,and the comprehensive index of investor sentiment is obtained.The research results show that the new investor sentiment index can predict Shanghai and Shenzhen 300 index movement.When the investor sentiment is optimistic,high,investor consumption and investment tends to increase.And the negative investor sentiment leads to a reduction for purchase intention and the willingness to take risks.