基于投资者情绪传染的中美证券市场联动效应分析

The Co-movement of the Securities Market from China and USA Based on Investor Sentiment Contagion

文章从投资者情绪传染的角度出发,使用1999.01-2013.12的月度数据从市场收益率角度研究中美证券市场是否产生联动效应及产生的原因.研究结果表明中美证券市场的关联性呈现从"绝缘"到不断增强的动态过程;同时发现中美市场之间的投资者情绪传染是导致存在关联效应的主要原因,国际共同情绪和美国市场情绪是促进市场关联性的重要因素,市场间的情绪冲击显著影响了市场联动性.文章结果还表明中国股市走势、收益率显著地受到中国情绪的影响,而宏观经济周期的影响较弱.

From the investor sentiment contagion,we use the from1999.01 to 2013.12 monthly data and from the two aspects of market returns and volatility to research the securities market of china and the USA whether produce co-movement and the reason.The results show that the co-movement is from the 'insulation' to the dynamic process of growing.The investor sentiment contagion is the main reason for make the co-movement.the common investor sentiment and the USA market sentiment are the important factors to promote the co-movement from china and USA.The sentiment impact influences the market co-movement significantly.The article results show china's stock market、returns was impacted by the china's sentiment,but influence of macro-economic cycle is weak.