中美股市的“创造空间效应”与“弗里德曼效应”比较分析:基于投资者情绪波动影响视角

A Comparative Analysis of "Create Space Effect" and "Friedman Effect" In Sino-US Stock Market

文章基于De Long等人提出的DSSW噪声交易者模型,对其假设条件进行相应调整,提出非理性投资者的情绪波动对股票市场收益的影响机理。采用分位数回归法实证检验在不同的市场状态下,中美股市中是否存在明显的"创造空间效应"与"弗里德曼效应"。实证结果显示,中国股市的确存在明显的"创造空间效应"和"弗里德曼效应",尤其是当股市超额收益处于较低水平时,"弗里德曼效应"较为显著,而"创造空间效应"仅表现为稳定市场环境下悲观情绪的波动将加剧股市波动;美国股市中则不存在"弗里德曼效应"与"创造空间效应",美国股市相对于中国股市更为有效和理性。

Based on the DSSW noise trader model proposed by De Long et al.,we correspondingly adjust the assumptions according to the actual rules of stock market transaction,and analyze the impact mechanism of the fluctuations in the irrational investor sentiment on stock market returns. The Quantile regression method are used to test whether the ' Friedman Effect' and ' Create Space Effect' exist in Chinese and American stock market in different market conditions or not. The results show that there is a significant ' Friedman effect' in Chinese stock market,especially when the stock excess returns are at a low level. Meanwhile, ' Create space effect' does exist in Chinese stock market,but only showing the significant effects of pessimistic sentiment fluctuations on stock market volatility when the market is in equilibrium. However,there is no ' Freedman effect' and ' create space effect' in American stock market. the American stock market is more effective and rational relative to the Chinese stock market.