投资者情绪与股价崩盘风险:来自中国市场的经验证据

›› 2019, Vol. 31 ›› Issue (3): 50-60.

投资者情绪与股价崩盘风险:来自中国市场的经验证据

赵汝为¹, 熊熊², 沈德华²

1. 江南大学商学院, 无锡 214122;
2. 天津大学管理与经济学部, 天津 300072

收稿日期:2018-06-11 出版日期:2019-03-28 发布日期:2019-03-27
通讯作者: 沈德华,天津大学管理与经济学部副教授,硕士生导师,博士。
作者简介:赵汝为,江南大学商学院讲师,博士;熊熊,天津大学管理与经济学部教授,博士生导师,博士。
基金资助:
国家自然科学基金重点项目（71532009）；国家自然科学基金青年项目（71701150）；国家自然科学基金重大项目（71790594）。

Investor Sentiment and Stock Price Crash Risk: Evidence from China

Zhao Ruwei¹, Xiong Xiong², Shen Dehua²

1. School of Business, Jiangnan University, Wuxi 214122;
2. College of Management and Economics, Tianjin University, Tianjin 300072

Received:2018-06-11 Online:2019-03-28 Published:2019-03-27

摘要/Abstract

摘要：

随着行为金融学的不断发展，投资者情绪研究日益受到金融风险管理研究者的关注。本文结合国内外主流文献运用主成分分析方法构建了中国市场的投资者情绪指数，并探究了其对中国市场中以中证100、中证200、中证500以及中证1000指数成分股为代表的超大盘、大盘、中盘以及小盘股的股价崩盘风险的影响。研究结果发现，投资者情绪仅对超大盘股产生显著的正向影响，对于大盘、中盘和小盘股均不存在稳健的相关关系。本文的研究为投资者的风险管理以及监管层的风险预警提供了一定的借鉴意义。

关键词: 中证指数, 投资者情绪, 股价崩盘风险, 公司市值

Abstract:

With the development of behavioral finance, financial risk management researchers begin to focus more on investor sentiment studies. In this paper, we construct China stock market investor sentiment index, with the adoption of principal component analysis sourcing from mainstream journals. We connect investor sentiment with the stock crash risks of CSI 100, 200, 500 and 1000 index constituent stocks, which are representatives of super-large, large, medium, and small cap stocks of China stock market, and find that only super-large cap stocks show significantly positive response to investor sentiment. While, for the other three types of stocks, the investor sentiment demonstrates no robust relations. Our study provides meaningful referential value for not only investors' risk management but also regulator's risk pre-warning reminder.

Key words: CSI index, investor sentiment, stock crash risk, market capitalization

赵汝为, 熊熊, 沈德华. 投资者情绪与股价崩盘风险:来自中国市场的经验证据[J]. , 2019, 31(3): 50-60.

Zhao Ruwei, Xiong Xiong, Shen Dehua. Investor Sentiment and Stock Price Crash Risk: Evidence from China[J]. , 2019, 31(3): 50-60.

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