基于主成分分析的中国股市复合情绪指数的构建
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摘要
从投资者情绪源指标监控体系中筛选出申万微利股指数、申万高市盈率指数、申万高市净率指数、新财富最佳分析师指数、每周基金账户开户数、每周IPO(initial public offering)数量6个指标,同时控制经济基本面因素的影响,应用主成分分析法构建中国股市的复合情绪指数。合理性检验、稳健性检验和预测能力检验的结果表明,该复合情绪指数能够较为准确地表征中国股市投资者情绪。
Based on the investor sentiment indicator monitoring system,six indicators were selected including Shen Wan's weak profit index,Shen Wan's high price-earnings ratio index,Shen Wan's high book value index,new fortune best analyst index,the number of weekly account opening accounts and the weekly IPO(initial public offering)number.By controlling the influence of economic fundamentals,the compound sentiment index of Chinese stock market was constructed using the principal component analysis method.Rationality,robustness comparison and prediction ability test proved that compound sentiment index could accurately describe Chinese stock market investor sentiment.
Based on the investor sentiment indicator monitoring system,six indicators were selected including Shen Wan's weak profit index,Shen Wan's high price-earnings ratio index,Shen Wan's high book value index,new fortune best analyst index,the number of weekly account opening accounts and the weekly IPO(initial public offering)number.By controlling the influence of economic fundamentals,the compound sentiment index of Chinese stock market was constructed using the principal component analysis method.Rationality,robustness comparison and prediction ability test proved that compound sentiment index could accurately describe Chinese stock market investor sentiment.
引文
[1]马若微,张娜.我国股票市场投资者情绪SENT指数的构建---基于上证A股公司的面板数据[J].中央财经大学学报,2015(7):42-49.
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[4]BEN-REPHAEL A,KANDEL S,WOHL A.Measuring investor sentiment with mutual fund flows[J].Journal of Financial Economics,2012,104(2):363-382.
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[6]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.
[7]蒋玉梅,王明照.投资者情绪与股票收益:总体效应与横截面效应的实证研究[J].南开管理评论,2010,13(3):150-160.
[8]宋泽芳,李元.投资者情绪与股票特征关系[J].系统工程理论与实践,2012,32(1):27-33.
[9]张强,杨淑娥.噪音交易、投资者情绪波动与股票收益[J].系统工程理论与实践,2009,29(3):40-47.
[10]王镇,郝刚.投资者情绪指数的构建研究---基于偏最小二乘法[J].金融理论与实践,2014(7):1-6.
[2]BAKER M,WURGLER J.Investor sentiment and the cross‐section of stock returns[J].The Journal of Finance,2006,61(4):1645-1680.
[3]STAMBAUCH R F,YU J F,YUAN Y.The short of it:Investor sentiment and anomalies[J].Journal of Financial Economics,2012,104(2):288-302.
[4]BEN-REPHAEL A,KANDEL S,WOHL A.Measuring investor sentiment with mutual fund flows[J].Journal of Financial Economics,2012,104(2):363-382.
[5]易志高,茅宁.股票市场过度联动理论研究综述[J].经济学动态,2008(10):111-115.
[6]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.
[7]蒋玉梅,王明照.投资者情绪与股票收益:总体效应与横截面效应的实证研究[J].南开管理评论,2010,13(3):150-160.
[8]宋泽芳,李元.投资者情绪与股票特征关系[J].系统工程理论与实践,2012,32(1):27-33.
[9]张强,杨淑娥.噪音交易、投资者情绪波动与股票收益[J].系统工程理论与实践,2009,29(3):40-47.
[10]王镇,郝刚.投资者情绪指数的构建研究---基于偏最小二乘法[J].金融理论与实践,2014(7):1-6.