投资者极端情绪的均值-方差效应分析

›› 2017, Vol. 29 ›› Issue (6): 43-52.

投资者极端情绪的均值-方差效应分析

董孝伍^1,2, 张信东¹

1. 山西大学经济与管理学院, 太原 030006;
2. 山西师范大学经济与管理学院, 临汾 041001

收稿日期:2016-08-18 出版日期:2017-06-28 发布日期:2017-06-23
通讯作者: 董孝伍(通讯作者),山西大学经济与管理学院博士研究生
作者简介:张信东,山西大学经济与管理学院教授,博士生导师
基金资助:
山西省软科学研究项目（2015041013-2）；山西省高等学校人文社会科学重点研究基地项目（2016318）

Analysis on the Mean-Variance Effect of Investors'Extreme Sentiment

Dong Xiaowu^1,2, Zhang Xindong¹

1. School of Economics and Management, Shanxi University, Taiyuan 030006;
2. School of Economics and Management, Shanxi Normal University, Linfen 041001

Received:2016-08-18 Online:2017-06-28 Published:2017-06-23

摘要/Abstract

摘要：

通过构造投资者综合情绪指数，把投资者情绪划分为高涨期、低迷期和复苏期，基此考察高涨和低迷两种极端情绪对市场均值-方差关系的影响。结果显示：全样本期（2003.01至2016.06），等权市场收益和流通市值加权收益与方差之间均不存在显著的相关关系；情绪高涨期，等权市场收益与方差之间存在显著的正向关系；情绪低迷期，流通市值加权收益与方差之间存在显著的负向关系。研究结论表明投资者情绪确实对市场均值-方差关系产生影响，而且投资者情绪在高涨期和低迷期对小盘股和权重股的影响也存在差异。

关键词: 投资者情绪, 均值-方差关系, GARCH-M模型

Abstract:

By constructing the market sentiment index,this paper divides the investor sentiment into high,low and recovery periods,and investigates the influence of extreme sentiment on market mean-variance relationship.The results show that:in the whole sample period (Jan.2003-Jun.2016),there is no significant correlation between the market return (equal weight or circulation market value weight) and the conditional variance of the return;in the high sentiment period,there is a significant positive relationship between the equal weight market return and the variance of the return;in the low sentiment period,there is a significant negative correlation between the circulation market value weighted market return and the variance of the return.The paper shows that investor sentiment does have an effect on the market mean-variance relationship,and the investor sentiment has different impact on small-cap stocks and weighted stocks in the high and low investor sentiment periods.

Key words: investor sentiment, mean-variance relation, GARCH-M model

董孝伍, 张信东. 投资者极端情绪的均值-方差效应分析[J]. , 2017, 29(6): 43-52.

Dong Xiaowu, Zhang Xindong. Analysis on the Mean-Variance Effect of Investors'Extreme Sentiment[J]. , 2017, 29(6): 43-52.

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