重大公共事件恢复阶段的投资者情绪分化与股票价格偏误

Investor Sentiment Differentiationand Stock Price Bias in the Recovery Phase of Major Public Events

当前,自然灾害、疫病、重大事故等不同类型的重大公共事件时有发生,事件过后恢复阶段的不确定性对中国经济与金融稳定构成潜在威胁,研究重大公共事件冲击下股票价格偏误、投资者情绪及情绪分化具有重要意义。以新冠疫情为例,首先,构建包含了重大公共事件冲击的“价格-情绪-价格”反馈交易理论模型,分析变量间的互动关系;其次,在通过文本情感分析构建投资者情绪及情绪分化指标,运用时变参数向量自回归模型(TVP-SV-VAR)研究了变量间动态关系的时变特征。结果表明重大公共事件对股票价格偏误、投资者情绪与情绪分化的冲击及后三者间动态关系具有时变性,即不同阶段不同情形下存在不同影响,且重大公共事件的冲击有更长持续期。

Currently, major public events, such as natural disasters, plague, serious accidents and so on, occur from time to time. The uncertainty in the recovery stage after the event poses a potential threat to China’s economic and financial stability. It is of great significance to study the stock price bias, investor sentiment and emotional differentiation under the impact of major public events. Taking COVID-19 as an example, this paper first constructs a theoretical model of “price-emotion-price” feedback transaction for major public events to analyze the interactive relationship among variables. Secondly, the investor sentiment and sentiment differentiation index are constructed through text sentiment analysis.The time-varying characteristics of the dynamic relationship between variables are studied by using time-varying parameter vector autoregressive model(TVP-SV-VAR). The results show that the impact of major public events on stock price bias, investor sentiment and emotional differentiation and the dynamic relationship between the latter three are time-varying, that is, there are different effects in different stages and situations, and the impact of major public events has a longer duration.