投资者情绪的跨市场溢出效应——基于股票和商品期货网络搜索指数的研究

Cross-market Spillover Effects of Investor Sentiment: Based on the Network Search Index of Stock and Commodity Futures

研究投资者情绪在股票和商品期货市场的溢出效应,对于投资者更好地理解资本市场的网络结构以及有效规避投资风险具有一定的理论和实践意义。采用百度搜索指数作为投资者情绪的代理变量,可以有效统一两个市场的衡量标准,避免了以往研究标准无法统一的问题。通过对投资者情绪的跨市场溢出效应进行检验,得出以下结论:投资者情绪对跨市场的资产收益率及资产波动率均存在显著的影响;两个市场的投资者情绪存在着显著的波动溢出现象,且股价下跌后股票投资者情绪对商品期货市场的波动溢出变得更为显著。

Studying the spillover effects of investor sentiment in the stock and commodity futures markets, has important theoretical and practical significance for investors to better understand the network structure of capital markets and effectively avoid investment risks. Using Baidu Search Index as the proxy variable of investor sentiment can effectively unify the measurement standards of the two markets and avoid the problem that the previous research standards cannot be unified. By examining the cross-market spillover effects of investor sentiment, the results show that:(1) investor sentiment has a significant negative impact on cross-market assets return and cross-market asset volatility at daily and monthly frequency;(2) There are significant volatility spillovers in investor sentiment in both markets, and the volatility spillovers of stock sentiment on the commodity futures market have become more pronounced after stock market crash.