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本文从行为金融学角度,以2002年6月至2010年3月中国证券市场的股票交易数据为研究样本,采用时间序列回归考察中国投资者情绪与股票收益率之间的联系。研究结果表明,由股东户数得出的情绪指标系数与市场收益反向变动,而户均持股得出的情绪指标系数则与市场收益正向变动。实证检验的结果验证了投资者情绪在中国股票市场中所起的作用,因此关于证券市场投资者情绪运行模式的研究,对于中国资本市场泡沫的预警、监管机构政策的制定都具有重要的现实意义。
In this paper, from the perspective of behavioral finance, taking the stock transaction data of China’s securities market from June 2002 to March 2010 as the research sample, the relationship between Chinese investor sentiment and stock returns is investigated by using time series regression. The result of the research shows that the emotional index coefficient and the market return derived from the shareholder number of the stockholder fluctuate inversely, while the emotional index coefficient obtained from the stock holding of the household positively changes with the market income. The result of the empirical test verifies the role of investor sentiment in the Chinese stock market. Therefore, the researches on the sentiment model of the investors in the securities market are of great practical significance for the early warning of the Chinese capital market bubble and the formulation of the regulatory agency policy .