投资者情绪、新股申购资金冻结与股价波动

发布时间：2018-05-18 01:16

本文选题：股价波动性 + 投资者情绪　；参考：《中央财经大学学报》2017年11期

【摘要】：2006—2015年,我国证券市场开始允许个人投资者网上申购,但是申购资金会在短期内冻结大约一周左右的时间。在新股申购资金冻结制度背景下,个人投资者进行申购时,会在短时间内冻结大量资金并在一周的时间内得到释放。这在短期内会对市场流动性产生冲击。笔者研究新股网上申购资金冻结制度对市场稳定性的影响。研究发现,这种短时间内的大量资金冻结与释放,会加剧当月股价的波动性并且增加了当月股价的振幅以及跳跃风险。其次我们还发现,冻结资金加剧股价波动性的现象,受到投资者情绪的影响,在投资者情绪较为乐观时,其对股价波动性的影响更为强烈。最后,我们发现高市盈率的股票以及低市值类的股票受到新股申购资金冻结的冲击作用更为强烈。
[Abstract]:China's securities market began allowing individual investors to apply online from 2006 to 2015, but requisitions will be frozen for about a week or so in the short term. In the context of the freezing of new share purchase funds, individual investors will freeze large amounts of funds in a short period of time and be released within a week. This will have an impact on market liquidity in the short term. The author studies the influence of the freezing system on the market stability. The study found that large amounts of funds frozen and released over a short period of time would increase volatility and increase the amplitude and jump risk of the month's share price. Second, we also found that the freezing of funds increased volatility of share prices, affected by investor sentiment, when investor sentiment is more optimistic, it has a stronger impact on stock price volatility. Finally, we find that stocks with high price-earnings ratios and stocks with low market value are more strongly hit by the freeze on new share requisitions.
【作者单位】：中国人民大学商学院;海南大学经济与管理学院;中国人民大学商学院会计系;
【基金】：海南大学经济与管理学院申报国家自然科学基金项目“逆周期财政政策与收入分配:基于异质个体DSGE的研究”(项目编号:71463013);海南大学经济管理学院申报海南省自然科学基金项目“国资偏向的融资体系与扩张性财政政策效果:基于异质动态随机一般均衡模型的研究”(项目编号:717032)
【分类号】：F832.51

【相似文献】