投资者情绪对股票价格波动的影响研究

Research on the Influence of Investor Sentiment on Stock Price Volatility

股票价格走势很大程度上受到投资者情绪的影响。为研究投资者情绪和股票价格波动之间的关系,首先,构造乐观情绪和悲观情绪测量指标,研究其对股票价格波动的差异性影响,其次,探讨制度变化和国际股票市场风险的影响。研究发现,乐观情绪和悲观情绪都会加大股票波动;融资融券交易制度的引入弱化了投资者情绪对股票波动的影响,提升了市场效率;美国股市波动加剧了乐观情绪对中国股市波动的影响。最后,基于本文结论提出相关建议。

Stock price movements are largely influenced by investor sentiment. To study the relationship between investor sentiment and stock price volatility, first, construct optimistic and pessimistic measures to study the differential impact of stock price volatility, and secondly, explore institutional changes and the impact of international stock market risk. The study finds that optimism and pessimism will increase stock volatility;the introduction of margin trading system weakens the impact of investor sentiment on stock volatility and improves market efficiency;US stock market volatility exacerbates the impact of optimism on China’s stock market volatility. Finally,based on the conclusions of this paper, relevant recommendations are proposed.