中文摘要：

本文应用带有GARCH效应的门限模型，研究了投资者情绪对市场均值-方差关系的影响。实证结果表明，市场均值-方差关系受投资者情绪的影响存在一个转变机制。当市场情绪落入低迷期，均值-方差的关系负相关；当投资者情绪进入到复苏期或高涨期时，两者关系是显著正相关，而且当期情绪的这种作用还会影响到下期的市场。同时发现股市政策性变化会引起情绪波动。

英文摘要：

The paper adopts a threshold model with GARCH effect to study the effect of investor sentiment on the mean-variance relationship. The results show that the influence of investor sentiment on mean-variance relationship exits a transition mechanism. The relationship is significantly negative when sentiment falls into the low periods and is significantly positive when sentiment enters a recovery or high periods. In addition, the effect can influence the next market. Furthermore, a change in market policy causes the sentiment fluctuations.