投资者情绪对异质股票市场的非对称影响

Asymmetric Effects of Investor Emotions on Heterogeneous Stock Markets

投资者情绪是影响股票市场稳定的重要因素,而股票市场的异质性决定其敏感性的非对称影响。根据K-means聚类分析将股票市场划分为不同类型,并引入马尔科夫区制转移回归模型,研究在不同区制下投资者情绪对股票市场的动态影响机制。研究发现,投资者情绪在中小盘股票市场影响更为显著,且负作用于股票收益率;在高、低两类收益率中,股票高收益率对投资者情绪的反应更为敏感,体现了投资者情绪的非对称效应;在股票市场的正常区制期间,投资者情绪具有显著的作用,而在极端波动时期,投资者情绪并未存在明显作用。

Investor sentiment is one of the important factors affecting the stability of the stock market,but the heterogeneity of stock market determines the asymmetric influence of its sensitivity.According to the K-means cluster analysis,the stock market is divided into different types,and MS-DR is introduced to study the dynamic influence mechanism of investor sentiment on the stock market under different regional systems.It is found that investor sentiment has a more significant impact on the small and medium-sized stock market,and has a negative impact on the stock return.Among high and low returns,the high return is more sensitive to investor sentiment,reflecting the asymmetric effect of investor sentiment.In the normal region of the stock market,investor sentiment has a significant role,while in the extreme fluctuation period,investors emotion has no obvious effect.