投资者情绪与指数收益——不同市场条件下的差异分析

Investor Sentiment and Index Returns:Differential Analysis in Diverse Market Conditions

文章研究了投资者情绪对市场收益率的解释力。基于2011—2020年月度数据,以成交量和投资者信心指数作为投资者情绪指标,检验了其对于指数收益的解释力。结果表明投资者情绪对于股指收益率具有较强解释力。进一步研究根据行情走势将数据分为4个阶段,分别检验不同阶段投资者情绪对于收益率解释力的异同,结论显示成交量和投资者信心指数对于收益率的解释力根据股指处于不同波动阶段而呈现出一定差异。信心指数和成交量作为情绪指标具有一定互补性。此外还检验了投资者信心指数、成交量与收益率之间的内生性,结论表明变量间不存在内生性问题。

This paper investigates the explanatory power of investor sentiment on market returns.Using monthly data from 2011 to 2020,it employs trading volume and investor confidence index as indicators of investor sentiment and examines the explanatory power on index returns.The result shows that investor sentiment has a strong explanatory power on stock index returns.Furthermore,it conducts a further analysis by dividing the data into four stages based on market trends,and examines the differences in the explanatory power of investor sentiment on returns in different stages.The results reveal that the explanatory power of trading volume and investor confidence index on returns exhibits certain differences based on the volatility of the stock index.Moreover,the investor confidence index and trading volume,as sentiment indicators,have a certain degree of complementarity.Additionally,the article tests the endogeneity among investor confidence index,trading volume,and returns.It finds that endogeneity issues do not exist in these variables.