不同市态阶段的股票收益-风险实证研究——情绪冲击与投资策略

发布时间：2018-04-09 08:24

本文选题：投资者情绪　切入点：收益与风险　出处：《当代财经》2011年12期

【摘要】：采用六个代理变量周数据,以主成分分析方法构建了投资者情绪指数。在股票市场周期进一步细分为牛熊市以及牛熊市初中末期的情况下,运用TARCH模型研究了投资者情绪变化与上证综指、深证成指及五类股票风格指数收益间的关系及其风险特征。研究结果表明:牛熊市态下情绪变化对上述股指收益均有显著影响,熊市时情绪对股市收益冲击远大于牛市时的冲击。而且,细分市态分析结果显示:牛市初期及熊市末期的冲击在牛市及熊市中分别最大,即股市收益表现出强烈的非对称性;各类风格股票收益在市场周期不同阶段受情绪变化影响不同,股票收益表现出明显的风格轮动效应。因此,投资者在不同阶段对各类股票的投资策略也有所差异,市场周期不同阶段好坏消息对收益波动冲击的非对称效应也有不同特征。
[Abstract]:Based on the weekly data of six proxy variables, the investor sentiment index is constructed by principal component analysis (PCA).Under the condition that the stock market cycle is further subdivided into bull bear market and bull bear market at the end of junior middle school, this paper uses TARCH model to study the relationship between the changes of investor sentiment and the returns of Shanghai Composite Index, Shenzhen Composite Index and five kinds of stock style indices and their risk characteristics.The results show that the emotional changes in the bull market have a significant impact on the above stock index returns, and the impact of bear market mood on the stock market returns is much greater than that on the bull market.Furthermore, the results of market segmentation analysis show that the impact of the initial bull market and the bear market is the biggest in the bull market and the bear market respectively, that is, the stock market returns show strong asymmetry;All kinds of style stock returns are affected by different emotional changes in different stages of market cycle, and stock returns show obvious style rotation effect.Therefore, investors have different investment strategies in different stages, and the asymmetric effects of good or bad news on earnings fluctuations in different stages of market cycle have different characteristics.
【作者单位】：华南理工大学经济与贸易学院;
【基金】：国家自然科学基金资助项目“基于投资者情绪的资本资产定价研究”(70871042)
【分类号】：F224;F832.51

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