The Empirical Research on the Effect of Investor Sentiment for the Stock Market of China Based on Stock Index Futures

In: Business and Management

Submitted By julyyilin
Words 1134
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Finance 金融, 2012, 2, 151-154 http://dx.doi.org/10.12677/fin.2012.23017 Published Online July 2012 (http://www.hanspub.org/journal/fin)

The Empirical Research on the Effect of Investor
Sentiment for the Stock Market of China Based on Stock Index Futures
Yongquan Pan, Zi Lin
Dongling School of Economics and Management, University of Science and Technology Beijing, Beijing
Email: yqpan@ustb.edu.cn, linziliz@sina.com
Received: Feb. 6th, 2012; revised: Feb. 26th, 2012; accepted: Mar. 4th, 2012

Abstract: This paper discusses the affect of stock index futures for investor sentiment’s measure and study if the new indicator has better interpretation to stock returns than before. Finally, the reflection of the negative emotions on the market is studied by this indicator.
Keywords: Investor Sentiment; Stock Index Futures; Stock Return

基于股指期货的投资者情绪对中国股市
影响的实证研究
潘永泉,林



北京科技大学,东凌经济管理学院金融工程系,北京
Email: yqpan@ustb.edu.cn, linziliz@sina.com
收稿日期:2012 年 2 月 6 日;修回日期:2012 年 2 月 26 日;录用日期:2012 年 3 月 4 日



要:本文将股指期货合约作为投资者情绪的度量指标,研究在此基础上构建的投资者情绪指标是

否对于股票收益率有更强的解释能力,并以此研究其对股票市场的消极情绪是否反映的更为充分。
关键词:投资者情绪;股指期货;股票收益率

1. 引言

在之前的研究中,由于我国实际上没有做空机

投资者非理性行为是否会影响股票价格和收益

制,所以在测度投资者情绪时经常采用市场换手率、

是现代金融理论和行为金融理论争论的焦点。现代金

封闭式基金折价和投资者开户增长率等指标,但是,

融理论认为,在某种程度上某些投资者可能并非理

自从 2010 年以来,股指期货市场出现,投资者可以

性,但由于他们之间的交易是随机进行的,所以他们

利用股指期货来做空股票,因此之前的测度中,市场

的非理性会相互抵消,
股票价格不会受到影响。
因此,

的消极情绪反映的不够充分,
但是,
有了做空机制后,

股票的价格等于其基础价值,股票的预期收益由其基

市场的消极情绪得以反映。

础风险大小决定。而行为金融理论则认为,由于非理

Black(1986)将“噪音交易者”并引入股票市场,

性投资者行为的不可预测性和套利的非完美性,理性

并把他们定义为不拥有内部信息却非理性地把噪音

套利者并不能及时纠正非理性投资者导致的股票价

当作有用信息进行交易的人,噪音交易者的存在提高

[1]

格与价值之间的偏离 。
Copyright © 2012 Hanspub

了股票市场的流动性,同时也降低了市场的有效性[2]
151

基于股指期货的投资者情绪对中国股市影响的实证研究

这一观点的提出打破了市场有效性假说,也给予金融

准是:二者之差的平方和最小。根据最小二乘原理,

研究更广阔的空间。

建立如下回归方程:

在国内的研究中,池丽旭与庄新田(2011)基于基…...

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