投资者情绪、美股波动对A股市场波动率影响——基于TVP-VAR模型
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摘要
根据2010至2017年的月度数据,从38个投资者情绪指标中筛选出9个代理指标构造国内投资者情绪变量,并借助状态空间模型及卡尔曼滤波方法得到最终的国内投资者情绪因子。通过TVP-VAR模型研究发现国内投资者情绪因子、美国股票市场已实现波动率和沪深300已实现波动率三者之间存在相关性。结果表明:相关关系存在构造的国内投资者情绪可作为我国股票市场波动性的领先指标,且在牛市中的领先期数较熊市中更长;在股市剧烈波动的时期,情绪指标对我国股票市场的影响更大。美股已实现波动率对我国股票市场的影响长期来说更显著;在我国股票市场剧烈波动的时期,美股市场的影响性较小。
According to the monthly data from 2010 to 2017, nine agent indicators are selected from the 38 investor sentiment indicators to construct domestic investor sentiment variables. The final domestic investor sentiment factor is obtained by the state space model and Kalman filtering method. We find that there are correlations between the domestic investor sentiment factor, the realized volatility of the US stock market and the realized volatility of the CSI 300 index through the TVP-VAR model. The result shows that the constructed domestic investor sentiment can be used as the advanced indicator of China's stock market volatility, and the advanced period in the bull market is longer than that in the bear market.In the period of stock market volatility, the emotional index has a greater impact on China's stock market,and the US stock volatility has more significant impact on China's stock market in the long run. In the period of China's stock market volatility,the US stock market has less influence.
According to the monthly data from 2010 to 2017, nine agent indicators are selected from the 38 investor sentiment indicators to construct domestic investor sentiment variables. The final domestic investor sentiment factor is obtained by the state space model and Kalman filtering method. We find that there are correlations between the domestic investor sentiment factor, the realized volatility of the US stock market and the realized volatility of the CSI 300 index through the TVP-VAR model. The result shows that the constructed domestic investor sentiment can be used as the advanced indicator of China's stock market volatility, and the advanced period in the bull market is longer than that in the bear market.In the period of stock market volatility, the emotional index has a greater impact on China's stock market,and the US stock volatility has more significant impact on China's stock market in the long run. In the period of China's stock market volatility,the US stock market has less influence.
引文
(1)深圳证券交易所:《2017年个人投资者调查报告》,2018年3月14日,http://www.szse.cn/aboutus/trends/news/t20180315_519202.html.
(1)王美今、孙建军:《中国股市收益、收益波动与投资者情绪》,《经济研究》2004年第10期。
(2)程昆、刘仁和:《投资者情绪与股市的互动研究》,《上海经济研究》2005年第11期。
(3) KL Fisher and M Statman,“Consumer Confidence and Stock Returns”,Journal of Portifolio Management,vol.30,no.1(2009),pp.115-127.
(4)李合龙、刘方舟、冯春娥、张卫国:《投资者情绪与股市收益率波动的联动性》,《系统工程》2016年第12期。
(5) Baker M and Wurgler J,“Investor sentiment and the cross-section of stock returns”,Journal of Finance,vol.61,no.4(2006),pp.1645-1680.
(6) GW Brown and MT Cliff,“Investor Sentiment and the Near-term Stock Market”,Journal of Empirical Finance,vol.11,no.1(2004),pp.1-27.
(7)陆静、周媛:《投资者情绪对股价的影响--基于AH股交叉上市股票的实证分析》《,中国管理科学》2015年第11期。
(8)蒋先玲、张斯琪:《投资者情绪对中国IPO首日收益率影响的实证分析》,《经济问题》2015年第6期。
(9)伍燕然、韩立岩:《不完全理性、投资者情绪与封闭式基金之谜》,《经济研究》2007年第3期。
(10) Da Z,Engelberg J and Gao PJ,“The sum of all fears investor sentiment and asset prices”,Review of Financial Studies,vol.28,no.1(2015),pp.1-32.
(11) Kim S H and Kim D,“Investor sentiment from internet message postings and the predictability of stock returns”,Journal of Economic Behavior&Organization,vol.107,no.11(2014),pp.708-729.
(12)陈云松、严飞:《网络舆情是否影响股市行情?基于新浪微博大数据的ARDL模型边限分析》,《社会》2017年第2期。
(13)李岩、金德环:《投资者情绪与股票收益关系的实证检验》,《统计与决策》2018年第15期。
(1)孟祥旭、李增刚:《空气质量对股票投资行为影响的实证检验--以PM_(2.5)为例》,《城市与环境研究》2017年第4期。
(2) Baker M,Wurgler J and Yuan Y,“Global,Local,and Contagious Investor Sentiment”,Journal of Financial Economics,vol.104,no.2(2012),pp.272-287.
(3)刘澄、张羽、鲍新中:《国际投资者情绪的传染性及其对中国股票市场收益的影响》,《财会月刊》2017年第12期。
(4) Merton and Robert C,“On estimating the expected return on the market:an exploratory investigation”,Journal of Financial Economics,vol.8,no.4(1980),pp.323-361.
(1) Baker M and Wurgler J,“Investor sentiment and the cross-section of stock returns”,Journal of Finance,vol.61,no.4(2006),pp.1645-1680.
(2) GW Brown and MT Cliff,“Investor Sentiment and the Near-term Stock Market”,Journal of Empirical Finance,vol.11,no.1(2004),pp.1-27.
(1)王美今、孙建军:《中国股市收益、收益波动与投资者情绪》,《经济研究》2004年第10期。
(2)程昆、刘仁和:《投资者情绪与股市的互动研究》,《上海经济研究》2005年第11期。
(3) KL Fisher and M Statman,“Consumer Confidence and Stock Returns”,Journal of Portifolio Management,vol.30,no.1(2009),pp.115-127.
(4)李合龙、刘方舟、冯春娥、张卫国:《投资者情绪与股市收益率波动的联动性》,《系统工程》2016年第12期。
(5) Baker M and Wurgler J,“Investor sentiment and the cross-section of stock returns”,Journal of Finance,vol.61,no.4(2006),pp.1645-1680.
(6) GW Brown and MT Cliff,“Investor Sentiment and the Near-term Stock Market”,Journal of Empirical Finance,vol.11,no.1(2004),pp.1-27.
(7)陆静、周媛:《投资者情绪对股价的影响--基于AH股交叉上市股票的实证分析》《,中国管理科学》2015年第11期。
(8)蒋先玲、张斯琪:《投资者情绪对中国IPO首日收益率影响的实证分析》,《经济问题》2015年第6期。
(9)伍燕然、韩立岩:《不完全理性、投资者情绪与封闭式基金之谜》,《经济研究》2007年第3期。
(10) Da Z,Engelberg J and Gao PJ,“The sum of all fears investor sentiment and asset prices”,Review of Financial Studies,vol.28,no.1(2015),pp.1-32.
(11) Kim S H and Kim D,“Investor sentiment from internet message postings and the predictability of stock returns”,Journal of Economic Behavior&Organization,vol.107,no.11(2014),pp.708-729.
(12)陈云松、严飞:《网络舆情是否影响股市行情?基于新浪微博大数据的ARDL模型边限分析》,《社会》2017年第2期。
(13)李岩、金德环:《投资者情绪与股票收益关系的实证检验》,《统计与决策》2018年第15期。
(1)孟祥旭、李增刚:《空气质量对股票投资行为影响的实证检验--以PM_(2.5)为例》,《城市与环境研究》2017年第4期。
(2) Baker M,Wurgler J and Yuan Y,“Global,Local,and Contagious Investor Sentiment”,Journal of Financial Economics,vol.104,no.2(2012),pp.272-287.
(3)刘澄、张羽、鲍新中:《国际投资者情绪的传染性及其对中国股票市场收益的影响》,《财会月刊》2017年第12期。
(4) Merton and Robert C,“On estimating the expected return on the market:an exploratory investigation”,Journal of Financial Economics,vol.8,no.4(1980),pp.323-361.
(1) Baker M and Wurgler J,“Investor sentiment and the cross-section of stock returns”,Journal of Finance,vol.61,no.4(2006),pp.1645-1680.
(2) GW Brown and MT Cliff,“Investor Sentiment and the Near-term Stock Market”,Journal of Empirical Finance,vol.11,no.1(2004),pp.1-27.