不同市态下投资者情绪与股市收益、收益波动的异化现象——基于上证股市的实证分析

发布时间：2018-12-11 21:21

【摘要】：基于上证股市的相关数据,分析不同市场态势下投资者情绪与股市收益及其波动的异化现象。结果表明:我国投资者情绪对股票市场的收益并无显著影响;而股票收益却对投资者情绪的作用显著:牛市阶段股票收益与投资者情绪正相关,而熊市阶段则为负相关;投资者情绪对收益波动的影响在不同市态下也存在异化现象:熊市阶段投资者情绪对预期收益波动的冲击存在非对称效应,乐观倾向比等量的悲观倾向对波动的冲击更大;而牛市阶段收益波动主要受投资者悲观情绪的影响,且不存在非对称效应。这与国内外的相关研究结论不同。
[Abstract]:Based on the relevant data of Shanghai stock market, this paper analyzes the alienation phenomenon of investor sentiment, stock market returns and their fluctuations in different market situations. The results show that investor sentiment has no significant effect on stock market returns, while stock returns have significant effects on investor sentiment: stock returns are positively correlated with investor sentiment in bull market and negatively correlated with bear market; The influence of investor sentiment on return fluctuation also exists alienation phenomenon under different market conditions: the impact of investor sentiment on expected income fluctuation is asymmetric in bear market stage, and the impact of optimistic tendency is greater than that of the same amount of pessimistic tendency; In bull market, the volatility of returns is mainly affected by investor pessimism, and there is no asymmetric effect. This is different from the domestic and foreign related research conclusions.
【作者单位】：西安交通大学管理学院;
【分类号】：F224;F832.51

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