投资者信心指数发布对股市的影响——一个信息传递理论分析框架

Investor Sentiment,Stock Market Return and Volatility

研究投资者信心对投资者自身和他人决策行为的影响,以及对风险资产价格和波动率的影响是这一领域的关键话题。在Diamond和Verrecchia的信息传递模型基础之上,考虑投资者信心因子对均衡解的影响,对原模型进行扩展,并给出没有发布信心指数和发布信心指数两种情况下的风险资产均衡价格和波动率。结果表明,在公布信心指数后,均衡价格的波动率相比于没有公布信息指数时的波动率变小了,从而说明公布投资者信心指数可以减少股市的波动。

How investors' sentiment affects their investment decision is important for the pricing of risky asset.This paper expands the model of Diamond and Verrecchia(1981)and analyzes the impact of investor sentiment on the equilibrium solution.It also presents the equilibrium price and volatility for risky assets before and after the publication of investor sentiment index.The results suggest that after publication of investor sentiment index,the volatility of equilibrium price becomes lower.Therefore,the release of investor sentiment index can reduce the market volatility.