分类思维、投资者情绪与股票价格联动

Category Thought,Investor Sentiment and Stock Price Co-movement

本文基于中国股市中股票除权后的价格过度联动现象,重点研究了投资者分类偏好在股票价格形成中的作用,以及投资者情绪对过度联动的影响。研究发现:(1)除权后股票价格与低价股组合的联动明显加强,而与高价股组合的联动却明显减弱;(2)投资者情绪对过度联动有重要影响,特别是在情绪高涨的牛市行情期间,该影响尤为明显。该研究为BSW(2005)基于偏好的联动提供了直接的中国经验证据,同时为投资者情绪对资产定价存在重要影响的行为金融学解释提供了进一步的支持。

We research the price-based co-movement phenomenon after stock ex-rights in China stock market,and focus on the role of investor category-preference over the asset pricing,and the impact of investor sentiment on the co-movement. We find:( 1) Stocks that undergo ex-rights experience an obvious increasing co-movement with lower-priced stocks and decrease with higher-priced stocks.( 2) And investor sentiment has a significant impact on the price co-movement,especially in the bull market. We get a direct evidence for habits-based co-movement( BSW,2005) from China stock market,and give more supports for behavioral finance that investor sentiment influence on asset pricing.