投资者情绪与股市收益率的非对称相关性分析

An Empirical Research on the Asymmetric Correlation between Investor Sentiment and Return Rate of Stock Market

采用主成分分析的方法,把原始的投资者情绪变量构建成投资者情绪指标体系,运用VARBVGJR-GARCH-BEKK模型探讨投资者情绪和股市收益率之间的非对称相关性。实证分析结果表明:投资者情绪与股市收益率之间存在双向的均值溢出效应;股市收益率与投资者情绪间存在显著的双向波动溢出效应,任何一个变量的波动信息都会传递到另外一个变量中,对另一变量的波动产生影响;投资者情绪受到自身滞后的负冲击比受到自身滞后的正冲击产生更大的波动;投资者情绪的正面冲击会加大股市收益率的波动。

In this paper,a kind of investor＇s sentiment substitude index model is constructed by the Principal Components Analysis to discuss the relationship between investor sentiment and the return rate of stock market.The empirical results demonstrate that there are bidirectional mean spillovers effects between investor sentiment and the the return rate of stock market and bidirectional volatility spillover effects between the two variables.Variables transmit the message of wave to each other,the volatility produced by its own past negative shocks from the investor＇s sentiment is larger than its own past positive shocks,and the positive shocks of the investor＇s sentiment increase the volatility of the stock market return.