中国股市投资者情绪测度指标的优选研究
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摘要
股市投资者情绪单项测度指标众多、良莠不齐,Baker和Wurgler基于主成分分析构建综合投资者情绪测度指数的方法虽被广泛采用,但其所用指标在选用时具有主观随意性,故需对这些指标进行优选。可构建一套开放式的指标优选方法系统即倒金字塔滤网模型,首先对海选到的指标进行初选,剔除数据不可得不连续的指标,再通过相关性分析剔除无关项、通过聚类分析剔除高度相关项,然后通过主成分分析确定情绪测度维度和指标个数,最终用变异系数法优选出各维度内的最显著指标。然后,用优选后的指标基于主成分分析构建综合情绪测度指数。实证分析发现,不同时段应优选出不同的指标来测度投资者情绪,倒金字塔滤网模型适用于任何时段的指标优选,用优选后的指标构建的优化综合投资者情绪指数OISI比用未经优选的指标构建的CICSI指数可更好地解释中国股市投资者情绪。
There are many indicators to measure investor sentiment in stock market.The method of constructing comprehensive investor sentiment index based on principal component analysis by Baker and Wurgler(2006)is widely used,the indicators used by them are subjective and arbitrary,so it is necessary to optimize these indicators.An open indicator optimization method system called Inverted Pyramid Filter can be constructed.First of all,primary indicators need to be selected,and the indispensable indicators are eliminated.Then,the irrelevant items are eliminated by correlation analysis,and the highly correlated items are eliminated by clustering analysis.Furthmore,the dimension of investor sentiment measurement and the sum of indicators are determined by principal component analysis.Additionally the principal component analysis is used to determine the dimensions of investor sentiment measures and the number of indicators.Finally,the most significant indicators in each dimension is selected by using the coefficient of variation method.The empirical analysis shows that the optimization of sentiment measurement indicators is a dynamic process,and different indicators should be selected to measure investor sentiment in different periods.Inverted Pyramid Filter model is suitable for any period of indicator optimization.The optimized investor sentiment index OISI constructed with the optimized index is compared with the unoptimized index CICSI,the OISI can better explain investor sentiment.This paper provides a method reference for the indicators optimization before the construction of the investor sentiment composite index,and prepares the objective index for the construction of the index,so that the index based on the optimized indicators can also be optimized,so as to better explain the overall investor sentiment in the stock market.Moreover,other research and practice related to investor sentiment can be better done.
There are many indicators to measure investor sentiment in stock market.The method of constructing comprehensive investor sentiment index based on principal component analysis by Baker and Wurgler(2006)is widely used,the indicators used by them are subjective and arbitrary,so it is necessary to optimize these indicators.An open indicator optimization method system called Inverted Pyramid Filter can be constructed.First of all,primary indicators need to be selected,and the indispensable indicators are eliminated.Then,the irrelevant items are eliminated by correlation analysis,and the highly correlated items are eliminated by clustering analysis.Furthmore,the dimension of investor sentiment measurement and the sum of indicators are determined by principal component analysis.Additionally the principal component analysis is used to determine the dimensions of investor sentiment measures and the number of indicators.Finally,the most significant indicators in each dimension is selected by using the coefficient of variation method.The empirical analysis shows that the optimization of sentiment measurement indicators is a dynamic process,and different indicators should be selected to measure investor sentiment in different periods.Inverted Pyramid Filter model is suitable for any period of indicator optimization.The optimized investor sentiment index OISI constructed with the optimized index is compared with the unoptimized index CICSI,the OISI can better explain investor sentiment.This paper provides a method reference for the indicators optimization before the construction of the investor sentiment composite index,and prepares the objective index for the construction of the index,so that the index based on the optimized indicators can also be optimized,so as to better explain the overall investor sentiment in the stock market.Moreover,other research and practice related to investor sentiment can be better done.
引文
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[18]刘学文,欧阳美辰,徐洁.作业成本动因选择、合并与评价的系统方法构建[J].中国管理科学,2014,22(11):72-78.
[19]吴利丰,刘思峰,方志耕.基于新信息优先主成分回归的多参数复杂装备费用预测[J].中国管理科学,2012,20(S1):148-153.
[20]赵志冲,迟国泰.基于似然比检验的工业小企业债信评级研究[J].中国管理科学,2017,25(1):45-56.
[21]韩泽县.投资者情绪与中国证券市场的实证研究[D].天津:天津大学,2005.
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[23]陈其安,雷小燕.货币政策、投资者情绪与中国股票市场波动性:理论与实证[J].中国管理科学,2017,25(11):1-11.
[24]韩立岩,伍燕然.投资者情绪与IPOs之谜——抑价或者溢价[J].管理世界,2007,(3):51-61.
[25]Baker M,Stein J C.Market liquidity as a sentiment indicator[J].Journal of Financial Markets,2004,7(3):271-299.
[26]Ljungqvist A,Wilhelm W J.IPO pricing in the dotcom bubble[J].Journal of Finance,2003,58(2),723-752.
[27]Bondt W P M D.Betting on trends:Intuitive forecasts of financial risk and return[J].International Journal of Forecasting,1993,9(3):355-371.
[28]Kumar V,Ramaswami S N,Srivastava R K.A model to explain shareholder returns:Marketing implications[J].Journal of Business Research,2000,50(2):157-167.
[29]Wang Y H,Keswani A,Taylor S J.The relationships between sentiment,returns and volatility[J].International Journal of Forecasting,2006,22(1):109-123.
[2]Baker M,Wurgler J.Investor sentiment and the crosssection of stock returns[J].Joumal of Finance,2006,61(4):1645-1680.
[3]黄德龙,文凤华,杨晓光.投资者情绪指数及中国股市的实证[J].系统科学与数学,2009,29(1):1-13.
[4]易志高,茅宁.中国股市投资者情绪测量研究:CICSI的构建[J].金融研究,2009,(11):174-184.
[5]Kim T H,Ha A.Investor sentiment and market anomalies[C]//Proceedings of the 23rd Australian Finance and Banking Conference,Sydney,August 23,2010.
[6]Liao T L,Huang C J,Wu C Y.Do fund managers herd to counter investor sentiment?[J].Journal of Business Research,2011,64(2):207-212.
[7]高大良,刘志峰,杨晓光.投资者情绪、平均相关性与股市收益[J].中国管理科学,2015,23(2):10-20.
[8]陈鹏程,周孝华.机构投资者私人信息、散户投资者情绪与IPO首日回报率[J].中国管理科学,2016,24(4):37-44.
[9]杨春鹏,淳于松涛,杨德平,等.投资者情绪指数研究综述[J].青岛大学学报(自然科学版),2007,20(1):86-92.
[10]Brown G W,Cliff M T.Investor sentiment and asset valuation[J].Journal of Business,2005,78(2),405-440.
[11]Kumar A,Lee C.Retail investor sentiment and return comovements[J].Journal of Finance,2006,61(5):2451-2486.
[12]Simon H A.Rationality in psychology and economics[J].Journal of Business,1986,59(4):s209-s224.
[13]Kahneman D.A perspective on judgment and choice:Mapping bounded rationality[J].American Psychologist,2003,58(9):697-720.
[14]彭聃龄.普通心理学[M].北京:北京师范大学出版社,2004.
[15]饶育蕾,刘达锋.行为金融学[M].上海:上海财经大学出版社,2003.
[16]希勒.非理性繁荣[M].北京:中国人民大学出版社,2001.
[17]索罗斯.金融炼金术[M].海南:海南出版社,1999.
[18]刘学文,欧阳美辰,徐洁.作业成本动因选择、合并与评价的系统方法构建[J].中国管理科学,2014,22(11):72-78.
[19]吴利丰,刘思峰,方志耕.基于新信息优先主成分回归的多参数复杂装备费用预测[J].中国管理科学,2012,20(S1):148-153.
[20]赵志冲,迟国泰.基于似然比检验的工业小企业债信评级研究[J].中国管理科学,2017,25(1):45-56.
[21]韩泽县.投资者情绪与中国证券市场的实证研究[D].天津:天津大学,2005.
[22]陈其安,朱敏,赖琴云.基于投资者情绪的投资组合模型研究[J].中国管理科学,2012,20(3):47-56.
[23]陈其安,雷小燕.货币政策、投资者情绪与中国股票市场波动性:理论与实证[J].中国管理科学,2017,25(11):1-11.
[24]韩立岩,伍燕然.投资者情绪与IPOs之谜——抑价或者溢价[J].管理世界,2007,(3):51-61.
[25]Baker M,Stein J C.Market liquidity as a sentiment indicator[J].Journal of Financial Markets,2004,7(3):271-299.
[26]Ljungqvist A,Wilhelm W J.IPO pricing in the dotcom bubble[J].Journal of Finance,2003,58(2),723-752.
[27]Bondt W P M D.Betting on trends:Intuitive forecasts of financial risk and return[J].International Journal of Forecasting,1993,9(3):355-371.
[28]Kumar V,Ramaswami S N,Srivastava R K.A model to explain shareholder returns:Marketing implications[J].Journal of Business Research,2000,50(2):157-167.
[29]Wang Y H,Keswani A,Taylor S J.The relationships between sentiment,returns and volatility[J].International Journal of Forecasting,2006,22(1):109-123.