投资者关注与沪深300股票指数及股指期货波动溢出效应的传导研究——基于百度指数作为投资者关注度指标的考量
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摘要
"百度指数"作为投资者关注的衡量指标,被用于投资者关注与股票市场波动或收益率的分析,但鲜少用于期货市场研究中。本文通过考察百度指数与成交量等市场指标之间的相关性、平稳性、VAR一阶滞后模型的基础上,利用BEKK-GARCH模型对投资者关注与沪深300股指期货、股票指数收益率之间的波动溢出效应进行了实证分析,结果表明:第一,百度指数在一定程度上能够精确即时地反映投资者关注;第二,滞后一期投资者关注对主要市场变量产生正向压力,这与股票市场的反应类似;第三,沪深300股指期货与沪深300股票指数之间存在双向波动溢出效应;第四,限仓措施一定程度上"阻断"了沪深300股指期货、现货市场向百度指数信息传递的有效路径,使得百度指数向沪深300股票期货与现货之间的传导由双向波动溢出转为单向波动溢出,进而提出了三条针对性的建议。
As a measure of investor attention, "Baidu index" is used to analyze investor attention and stock market volatility or yield rate, but it's rarely used in futures market research. Based on investigating the relationship,stationarity and VAR first-order lag model between Baidu index, trading volume and other market indicators, this paper uses the BEKK GARCH model to empirical analyze volatility spillover effect among investor attention, CSI300 stock index futures and stock index returns. the results show that: first, Baidu index can accurately reflect the investor attention in a certain extent; Secondly, with the first-order lag of investor attention have the positive pressure on major market variables, which is similar to the reaction of the stock market.; Thirdly, there is two-way fluctuation spillover effect between CSI 300 stock index futures and CSI 300 stock index; Fourthly, to some extent,the stock limit measure "blocked" the effective path of information transmission from the CSI 300 stock index futures and spot market to the Baidu index, which makes the transmission from Baidu index to the CSI 300 stock index futures and spot market changed from two-way fluctuation overflow to one-way fluctuation overflow, then put forward three targeted Suggestions.
As a measure of investor attention, "Baidu index" is used to analyze investor attention and stock market volatility or yield rate, but it's rarely used in futures market research. Based on investigating the relationship,stationarity and VAR first-order lag model between Baidu index, trading volume and other market indicators, this paper uses the BEKK GARCH model to empirical analyze volatility spillover effect among investor attention, CSI300 stock index futures and stock index returns. the results show that: first, Baidu index can accurately reflect the investor attention in a certain extent; Secondly, with the first-order lag of investor attention have the positive pressure on major market variables, which is similar to the reaction of the stock market.; Thirdly, there is two-way fluctuation spillover effect between CSI 300 stock index futures and CSI 300 stock index; Fourthly, to some extent,the stock limit measure "blocked" the effective path of information transmission from the CSI 300 stock index futures and spot market to the Baidu index, which makes the transmission from Baidu index to the CSI 300 stock index futures and spot market changed from two-way fluctuation overflow to one-way fluctuation overflow, then put forward three targeted Suggestions.
引文
[1]Liyan Han, Ziying Li&Libo Yin. The effects of investor attention on commodity futures markets[J]. Journal of futures markets, Vol.37.No.3(2017).
[2]Kahneman D. Attention and Effort[M]. NJ:Prentice-Hall:Englewood Cliffs,1973.
[3]D. Kahneman&A. Tversky,“Prospect Theory:An Analysis of Decision under Risk,”Econometric:Journal of Econometric Society,Vol.47,No.2(1979).
[4]da Silva Rosa R,Durand R B. The role of saliencein portfolio formation[J].Pacific-Basin Finance Journal,2008(1).
[5]王春、徐龙炳.投资者关注研究进展.上海财经大学学报[J].哲学社会科学版.2009(5).
[6]Da Z,Engelberg J and Gao P. In Search of Attention.Working Paper,2009(6).
[7]谢世宏.基于互联网搜索得有限注意与我国股票市场得关系研究[D].南京大学,2012.
[8]俞庆进、张兵.投资者有限关注与股票收益——以百度指数作为关注度的一项实证研究[J].金融研究,2012(8).
[9]金雪军、周建锋.投资者关注度与市场收益间动态关系研究——基于Bootstrap的滚动窗口方法[J].浙江大学学报,2014(6).
[10]陈影、王立夏、周智敏.投资者情绪对股票价格指数影响研究——以百度指数与微博指数为指标[J].价格理论与实践,2017(9).
[11]谢明柱.基于百度指数的投资者有限关注与股票收益关系探析[J].长春理工大学学报(社会科学版),2018(5).
[12]柏正健、方华.基于百度指数的投资者关注度对股票市场表现的影响[J].电子商务,2018(12).
[2]Kahneman D. Attention and Effort[M]. NJ:Prentice-Hall:Englewood Cliffs,1973.
[3]D. Kahneman&A. Tversky,“Prospect Theory:An Analysis of Decision under Risk,”Econometric:Journal of Econometric Society,Vol.47,No.2(1979).
[4]da Silva Rosa R,Durand R B. The role of saliencein portfolio formation[J].Pacific-Basin Finance Journal,2008(1).
[5]王春、徐龙炳.投资者关注研究进展.上海财经大学学报[J].哲学社会科学版.2009(5).
[6]Da Z,Engelberg J and Gao P. In Search of Attention.Working Paper,2009(6).
[7]谢世宏.基于互联网搜索得有限注意与我国股票市场得关系研究[D].南京大学,2012.
[8]俞庆进、张兵.投资者有限关注与股票收益——以百度指数作为关注度的一项实证研究[J].金融研究,2012(8).
[9]金雪军、周建锋.投资者关注度与市场收益间动态关系研究——基于Bootstrap的滚动窗口方法[J].浙江大学学报,2014(6).
[10]陈影、王立夏、周智敏.投资者情绪对股票价格指数影响研究——以百度指数与微博指数为指标[J].价格理论与实践,2017(9).
[11]谢明柱.基于百度指数的投资者有限关注与股票收益关系探析[J].长春理工大学学报(社会科学版),2018(5).
[12]柏正健、方华.基于百度指数的投资者关注度对股票市场表现的影响[J].电子商务,2018(12).