本文使用上证市场数据构建投资者情绪指数,去除其自相关得到情绪变动值.将投资者情绪分为积极情绪和消极情绪,探讨积极和消极两种不同情绪特征下的投资者行为特点,并采用虚拟变量回归模型、GARCH模型及RV-AR模型考查投资者情绪特征对股票价格行为的非对称影响.结果表明:在中国股票市场上,将积极与消极情绪分开考虑的模型对收益有更好的拟合;正面情绪和情绪的向上变动都对股票收益有显著的正向影响,而负面情绪和情绪向下变动对其影响并不明显,这是由于在情绪低落时期理性成分对市场起主导作用.另外,投资者情绪的波动对股票收益率的波动有显著的冲击.
This paper builds an investor sentiment index by using data of Shanghai stock exchange, filters out its autocorrelation, and obtains the innovation of investor sentiments. We divide investor sentiments into posi- tive and passive investor sentiment, and analyze the characteristics of investors' behavioral traits in different sentiment states. We then research the asymmetrical influence of positive and negative emotion on stock price behaviors by using Dummy Variable model, GARCH-model and RV-AR-model. The results show that in Chi nese stock market, the models which consider different sentiment states have better fitting effects; positive in vestor sentiment has a significant impact on stock returns, but the effect of passive investor sentiment on stock returns is not significant since the rational component plays a leading role in the market when sentiment is low. Besides, the volatility of investor sentiment has a great explanation ability to the volatility of stock returns.