中国股市指数与投资者情绪指数的相互关系

发布时间：2018-01-16 00:03

本文关键词：中国股市指数与投资者情绪指数的相互关系　出处：《系统工程理论与实践》2012年03期 　论文类型：期刊论文

【摘要】：选取"新开交易账户数"作为投资者情绪的代理变量,应用ARMA-GARCH类模型研究了投资者情绪与股市收益率之间的相互关系.结果显示ARMA-GARCH类模型能有效拟合投资者情绪变化率和上证综合指数收益率的自相关性和异方差性.Granger因果检验表明上证综合指数收益率是投资者情绪变化率的一个显著影响因子,而并没有发现投资者情绪的变化率对上证综合指数的收益率Granger因果显著.根据市场表现的不同特征,投资者利用这一信息调整情绪.当市场处于上升阶段时,投资者情绪会更为乐观,有更多新的投资者进入股市;当市场处于下降阶段时,投资者就会转变为较为悲观,场外的投资者就会处于观望状态,不急于进入股市,这样反映在股市上就是"新开交易账户数"减少.
[Abstract]:Select "the number of newly opened trading accounts" as the proxy variable of investor sentiment. The relationship between investor sentiment and stock market yield is studied by using ARMA-GARCH model. The results show that ARMA-GARCH model can fit the change rate of investor sentiment and Shanghai Stock Exchange effectively. The autocorrelation and heteroscedasticity of composite index yield. Granger causality test shows that the return rate of Shanghai composite index is a significant influence factor of investor sentiment change rate. It is not found that the rate of change of investor sentiment is significant to the yield of Shanghai Composite Index Granger causality. According to the different characteristics of market performance. Investors use this information to adjust their mood. When the market is on the rise, investor sentiment will be more optimistic, with more new investors entering the stock market; When the market is in a downturn, investors become more pessimistic, and over-the-counter investors stay on the sidelines and don't rush into the stock market, which is reflected in a decline in the number of "new trading accounts."
【作者单位】：香港城市大学管理科学系;中国科学技术大学管理学院;南京信息工程大学经济管理学院;
【基金】：国家自然科学基金(70821001)
【分类号】：F224;F832.51
【正文快照】： 1引言金融市场中越来越多的市场异常现象给新古典金融理论带来了极大的挑战.如过度反应，代表性偏差等已不能为传统金融理论所合理解释.于是，金融学家们另辟蹊径，，在推翻传统金融理论基本假设的基础上，从心理学，行为学，和社会学等学科的角度来解释金融市场中的异常现象，

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