投资者情绪对股票收益率的影响研究——基于上证A股数据的实证分析

Research on the Influence of Investor Emotion on Stock Return Rate——An Empirical Analysis Based on the Data of Shanghai Stock Exchange A Shares

随着行为金融学的不断发展,人们发现股票收益率大小在一定程度上不仅取决于投资者对股票价格的把控,还受投资人主观情绪的影响。本文基于2010年1月-2018年12月投资者情绪水平和上证A股的月收益率数据,刻画了不同投资者情绪对股票收益率的影响。文章采用主成分分析法构造综合市场情绪指标,根据所构造投资者情绪指数大小,将情绪分为情绪乐观期、情绪悲观期和情绪温和期,补充了以往在整体投资者情绪角度下对股票收益率的研究。本文运用单因素方差分析方法来测试投资者情绪的不同水平是否会对股票收益产生影响,并通过实证分析来验证。

With the continuous development of behavioral finance, people find that the stock return rate depends not only on the control of stock prices by investors, but also on the subjective sentiment of investors.Based on the investor sentiment level of January 2010-2018 and the monthly yield of Shanghai A-shares, this paper characterizes the impact of different investor sentiment on stock returns. In this paper, the principal component analysis method is used to construct the comprehensive market sentiment index. According to the size of the constructed investor sentiment index, the emotion is divided into the emotional optimistic period, the emotional pessimistic period and the emotional mild period, which complements the previous stock return rate from the overall investor sentiment. This paper uses one-way ANOVA to test whether different levels of investor sentiment have an impact on stock returns, and empirical analysis to verify this impact relationship.