机构投资者视角下投资者情绪与科创板市场波动

Investor Sentiment and Market Volatility of Sci-Tech Innovation Board from Institutional Investor Perspective

作为金融制度创新,科创板在投资者构成、交易制度等方面与主板市场有显著不同,形成独特的系统风险特性。从行为金融角度构建科创板投资者情绪指标,发现科创板机构投资者情绪会带来更大的市场波动以及对市场波动更具预测性。实证结果显示:科创板收益率显著构成情绪的格兰杰原因,且在收益率50%分位数及以上,情绪与收益率显著正相关,情绪具有推升股市泡沫的倾向;加入情绪因素的随机模型对金融市场风险具有良好的预测效果。基于科创板机构投资者情绪的市场效应,研究从制度设计、证券监管和机构投资者自身三个方面提出政策建议,从而更好地发挥机构投资者稳定市场的作用。

As the innovation in the financial system of the capital market,the sci-tech innovation board is significantly different from the main board in terms of investor composition and trading system,creating the characteristics of unique systemic risk.Constructing the investor sentiment indicator from the behavioral finance perspective and comparing with other sentiment indicators on the main board,it is found that institutional investor sentiment on the sci-tech innovation board leads to greater market volatility as well as being more predictive of market volatility.The empirical results show that the rate of return of sci-tech innovation board significantly constitute the Granger cause of sentiment,while sentiment does not constitute the Granger cause of rate of return,the sentiment is significantly positively correlated with rate of return at and above the 50%quantile,and that sentiment has a tendency to push up stock market bubbles;the volatility stochastic model shows that institutional investors’arbitrage will drive the market back to efficiency,and the stochastic model with sentiment factor has good predictive effect on financial market risk.Based on the market effect of institutional investors’sentiment on the sci-tech innovation board,the study proposes the recommendations in terms of institutional design,securities supervision and institutional investors,so as to better play the role of institutional investors in stabilizing the market.