不确定性、投资者情绪与股票市场波动的动态关系研究

Study on the Dynamic Relationship between Uncertainty, Investor Sentiment and Stock Market Volatility

金融市场稳定是资本市场实现理性繁荣的基础。本文基于2003年2月至2019年8月的月度数据,利用TVP-VAR-SV模型对经济政策不确定性、投资者情绪与股票市场波动三者间的联动关系进行研究。研究发现,经济政策不确定性、投资者情绪与股市波动之间的关系存在时变特征,经济政策不确定性对股票市场波动的影响在短期、中期和长期均以正向为主,投资者情绪的影响方向则由正向转至负向再转至正向,且长期的影响强度明显减弱;在金融危机和股灾时期,经济政策不确定性和投资者情绪对股市波动的冲击程度均大于其他时期。

Financial market stability is the basis for rational prosperity of capital market.Based on the monthly data from February 2003 to August 2019,this paper studies the linkage between economic policy uncertainty,investor sentiment and stock market volatility by using the TVP-VAR-SV model.The study found that the relationship between economic policy uncertainty,investor sentiment and stock market volatility has the characteristics of time change.The influence of economic policy uncertainty on stock market volatility is positive in the short,medium and long term.While the influence direction of investor sentiment is from positive to negative and then to positive,and the long-term impact intensity is obviously weakened.In the period of financial crisis and stock market disaster,economic policy uncertainty and investor sentiment hit the stock market volatility more than other periods.