投资者情绪对股票流动性影响效应与机理研究

发布时间：2018-01-25 18:13

本文关键词： 投资者情绪股票流动性交易量卖空限制　出处：《厦门大学学报(哲学社会科学版)》2017年04期 　论文类型：期刊论文

【摘要】：投资者对未来股市行情的预期即情绪会影响其投资决策与行为,对市场流动性也产生影响。选取我国A股市场样本股票,从均值加权和市值加权两个角度构建市场流动性指标,分析投资者情绪与股票流动性间的影响关系和机理。实证结果表明:首先,在考虑市值规模差异后,投资者情绪对股票流动性存在显著的促进作用,而且情绪只能单向影响股票流动性,反向则不成立;其次,考虑市值规模的影响后,这种影响效应更突出,并且是通过推动市场交易量实现的,而价格作用并不显著;最后,卖空机制在投资者情绪对流动性的影响效应中起到反向抑制作用,卖空限制越大的股票,情绪对其流动性影响越小。
[Abstract]:Investors' expectation of the future stock market will affect their investment decisions and behaviors, as well as the liquidity of the market. Sample stocks in China's A-share market are selected. This paper constructs the market liquidity index from the perspective of weighted average and market value weighting, and analyzes the relationship and mechanism between investor sentiment and stock liquidity. The empirical results show that: first, after considering the market value scale difference. Investor sentiment has a significant promoting effect on stock liquidity, and emotion can only affect stock liquidity in one direction, but the reverse does not. Secondly, considering the influence of market value scale, the effect is more prominent, and it is realized by promoting the market trading volume, but the effect of price is not significant. Finally, short selling mechanism plays a reverse role in the effect of investor sentiment on liquidity.
【作者单位】：陕西师范大学商学院;
【基金】：教育部人文社科基金项目“股票流动性对投资者情绪波动的响应机制研究”(16YJA790061) 陕西师范大学研究生培养创新基金项目(2015CXS003)
【分类号】：B842.6;F832.51
【正文快照】： 一、引言流动性是反映股票市场运行质量的一个非常重要的要素,一个良好的市场应该具备资产交易流动的宽度、广度和即时性。同时股价的变化不仅受经济基本因素的影响,投资者信念、预期及行为等非市场因素的作用同样不可忽视。投资者对未来股市行情的预期即情绪会影响其投资决策

【相似文献】