投资者情绪、股市行业资金流与市场收益的动态关系

The Dynamic Relationship of Investor Sentiment,Market Return and Industry Capital Flow of Stock Market

在行业资金流统计数据的基础上,通过构建SVAR模型,分析投资者情绪、股票市场收益与行业资金流的动态关系。研究结果表明:行业资金流与市场收益之间长期呈负相关关系,而当期影响效应显著为正且是短期的,随后出现逆转;市场收益率对行业资金流有负向影响,负反馈交易假说能够对其进行有效解释,且不同行业资金流的冲击对市场收益的影响强度不同;市场投资者情绪能够解释市场收益与行业资金流之间的关系。

The thesis is focused on constructing SVAR model to research the dynamic relationship of investor sentiment,stock market return and capital flow. The results show that the long -term negative correlation between industry capital flow and market return, and the current effect is significantly positive in short - term, then going into a reversal ; market return has a negative influence on industry capital flow and the negative feedback. Trading hypothesis can explain it effectively. The impact of capital flow of different industries makes the different influence strength in market return; market sentiment can explicate the relationship between market return and industry capital flow.