投资者极端情绪的均值-方差效应分析

发布时间：2018-01-15 21:32

本文关键词：投资者极端情绪的均值-方差效应分析　出处：《管理评论》2017年06期 　论文类型：期刊论文

【摘要】：通过构造投资者综合情绪指数,把投资者情绪划分为高涨期、低迷期和复苏期,基此考察高涨和低迷两种极端情绪对市场均值-方差关系的影响。结果显示:全样本期(2003.01至2016.06),等权市场收益和流通市值加权收益与方差之间均不存在显著的相关关系;情绪高涨期,等权市场收益与方差之间存在显著的正向关系;情绪低迷期,流通市值加权收益与方差之间存在显著的负向关系。研究结论表明投资者情绪确实对市场均值-方差关系产生影响,而且投资者情绪在高涨期和低迷期对小盘股和权重股的影响也存在差异。
[Abstract]:Through the construction of investor comprehensive sentiment index, the investor sentiment can be divided into upsurge period, downturn period and recovery period. Based on this study, the effects of high and low extreme emotions on the mean-variance relationship of the market were investigated. The results showed that the whole sample period was from January 2001 to June 2016. There is no significant correlation between the return of equal right market and the weighted return of circulation market value and variance; In the period of emotional upsurge, there is a significant positive relationship between the return and variance of the equal right market. In the period of emotional depression, there is a significant negative relationship between weighted return and variance of circulation market value. The conclusion shows that investor sentiment does have an impact on the mean-variance relationship in the market. And investor sentiment in the upsurge and downturn on small-cap stocks and heavy stocks impact is also different.
【作者单位】：山西大学经济与管理学院;山西师范大学经济与管理学院;
【基金】：山西省软科学研究项目(2015041013-2) 山西省高等学校人文社会科学重点研究基地项目(2016318)
【分类号】：F224;F832.51
【正文快照】： 引言传统金融理论认为金融资产的风险-收益之间存在严格的正向关系,即高风险-高收益,这也被学者Ghy-sel[1]等称为“金融学第一基本原理”。通常情况下,学者们对风险-收益关系的研究往往通过金融资产定价模型将其转化为研究收益的条件均值和条件方差之间的关系。Markowitz[2]从

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