投资者情绪与波动率非对称性

Investor Sentiment and Volatility Asymmetry

本文构建投资者情绪指数探讨我国股市波动率非对称效应背后的原因。首先用主成分分析法基于7个代理变量构建投资者情绪指数;然后用小波分析分离投资者情绪指数中的长期趋势项和随机扰动项分别代表投资者对未来基本面的乐观态度和投机情绪。我们发现,投资者对未来基本面的乐观态度会增加波动率的负向不对称性,而投机情绪又会增强波动率的正向不对称性。本文研究结论为风险管理、投资组合优化、市场监管等提供了新的思路。

This constructs investor sentiment index to probe the reason behind the asymmetric effect of volatility in Chinese stock market. Firstly, the principal component analysis method is used to construct investor sentiment index based on seven proxy variables. Then the long-term trend item and random disturbance one in the investor sentiment index separated through wavelet analysis respectively represent investors＇ optimism and speculative sentiment towards the future fundamentals. The research shows that investors＇ optimistic attitudes toward future fundamentals will increase the negative asymmetry of volatility and the speculative sentiment will enhance the positive asymmetry of volatility. The conclusion of the thesis provides new ideas for risk management, portfolio optimization, market supervision and so on.