投资者情绪与股市收益率波动的联动性

Linkage of the Volatility between Investor Sentiment and Stock Returns

应用GARCH模型对投资者情绪和股指进行估计,以获取投资者情绪和股市收益率的波动序列;进一步引入小波多分辨率分析,分别将波动序列分解到5层交易周期上,以考察不同周期下投资者情绪和股市收益率间波动的联动效应。实证结果表明,两者在不同交易周期下所表现出来的联动性存在非一致性;短期表现为在d1和d2尺度下股市收益率是投资者情绪的一个显著影响因子,而随着交易周期的加长,在d3至d5尺度下联动效应逐渐减弱;两者间由短期的单向传导逐渐过渡到中长期的双向传导。

The GARCH model is applied to estimate investor sentiment and stock index in order to acquire the volatility sequences of the two.Then we decompose the sequences of investor sentiment and stock index into five independent trading cycles through wavelet multi-resolution analysis,in order to analyze the fluctuations between investor sentiment and stock index in different time scales.The empirical results show that the fluctuation relationship between investor sentiment and stock index in different time scales is significantly different;in short-term,stock index performs as an effective impact factor of investor investment under d_1 and d_2 which fades off with the trading cycle from d_3 to d_5;the conduction turns unidirectional in short-term gradually to bidirectional in medium or long term.