Please wait a minute...
 首页  期刊介绍 期刊订阅 联系我们
 
最新录用  |  预出版  |  当期目录  |  过刊浏览  |  阅读排行  |  下载排行  |  引用排行  |  百年期刊
Journal of Tsinghua University(Science and Technology)    2014, Vol. 54 Issue (5) : 655-663     DOI:
Orginal Article |
Investor sentiment and idiosyncratic volatility: A micro-level test
Ping HE(),Tian WU,Lei JIANG,Liangjie WU
School of Economics and Management, Tsinghua University, Beijing 100084, China
Download: PDF(1478 KB)   HTML
Export: BibTeX | EndNote | Reference Manager | ProCite | RefWorks     Supporting Info
Guide   
Abstract  

Innovations in China's stock market have created an increasing demand for understanding the determinants of stock volatility. This paper documents the correlation between investor sentiment and idiosyncratic volatility. Principal component analysis is used to construct an investor sentiment index and to analyze data for 2 454 different stocks from 2003 to 2011 to test whether investor sentiment affects stock market volatility. The study shows that investor sentiment significantly impacts stock volatility with significant evidence that investor sentiment affects stock volatility through its impact on the turnover ratio.
Keywords behavioral finance      investor sentiment      volatility      turnover ratio     
ZTFLH:     
Fund: 
Issue Date: 15 May 2014
Service
E-mail this article
E-mail Alert
RSS
Articles by authors
Ping HE
Tian WU
Lei JIANG
Liangjie WU
Cite this article:   
Ping HE,Tian WU,Lei JIANG, et al. Investor sentiment and idiosyncratic volatility: A micro-level test[J]. Journal of Tsinghua University(Science and Technology), 2014, 54(5): 655-663.
URL:  
http://jst.tsinghuajournals.com/EN/     OR     http://jst.tsinghuajournals.com/EN/Y2014/V54/I5/655
第一主成分 第二主成分 第三主成分
IndiviNewt 0.644 8 -0.420 1 0.638 6
MarTradVt 0.712 8 0.028 9 -0.700 8
ShrCht 0.275 9 0.907 0 0.318 1
解释方差 0.570 6 0.341 6 0.087 9
  
  
变量代码 变量名称 变量描述
IndiviNewt 新增A股个人开户数 t月内沪深两市新增加的开户数量中,个人开户的总数
MarTradVt 市场月平均交易量 t月内沪深两市加总的交易量除以当月总交易天数
ShrCht 基金净赎回率 t月内基金净赎回份额占当月基金份额的比例
StkTurnti 个股月平均交易股换手率 t月内第i个股票总成交量除以流通总股数除以月内交易天数
Volatilityti 个股波动率 本文采用单月内单支股票日收益序列的标准差计算波动率
Momentumti 动量收益率 第i支股票第t月动量收益率,本文采用前六个月股票累积收益率作为当月动量收益率
BTMti 账面—市场值比 第i支股票t月收盘时公布年报中每流通股股东权益除以每股价格
MarValueti 月末市值 第i支股票t月收盘时流通股乘以每股价格
  
变量名 均值 中位数 标准差 最小值 最大值
新增A股个人开户数/户 987 201.8 854 788 1 036 475 49 662 5 594 364
市场月平均交易量 9 050.875 7 262 7 720.086 686 29 212
基金净赎回率/% 0.026 7 -0.043 8 0.204 1 -0.353 2 0.530 2
个股月平均交易股换手率/% 2.75 1.81 3.635 0.001 9 93.60
个股波动率/% 0.029 6 0.027 1 0.037 3 0 8.712 8
动量指数 1.125 1.003 0.518 0.119 16.540 6
账面市值比 0.416 7 0.361 0.257 0.000 3 3.225 8
月末市值/(千万元人民币) 40.7 11.4 263 0.068 19 200
  
相关性 IndivNew MarTradV ShrCh StkTurn Volatility Momentum BTM MarValue
IndivNew 1.000 0
MarTradV 0.656 4* 1.000 0
ShrCh 0.304 8* -0.032 3 1.000 0
StkTurn 0.475 8* 0.502 8* 0.113 7* 1.000 0
Volatility 0.338 4* 0.249 9* 0.028 0* 0.545 8* 1.000 0
Momentum 0.521 2* 0.397 5* 0.177 2* 0.403 0* 0.143 2* 1.000 0
BTM -0.115 6* -0.202 8* 0.091 9* 0.053 3* 0.064 1* -0.125 7* 1.000 0
MarValue 0.370 3* 0.516 9* -0.037 7* 0.060 3* -0.011 1* 0.244 1* -0.432 6* 1.000 0
  
变量名 显著拒绝假设比例(5%) P值系统均值
个股波动率 93.8% 0.02**
个股换手率 95.8% 0.016**
情绪指数 — 0.1*
  
因变量Volatilityi,t
Sentimenti,t-1 4.318***
(0.00)		 3.606***
(0.00)		 4.048***
(0.00)		 2.504***
(0.00)		 3.192***
(0.00)		 3.933***
(0.00)
Sentimenti,t-2 0.952***
(0.00)		 1.065***
(0.00)		 -0.567***
(0.00)		 -0.429***
(0.00)
Sentimenti,t-3 -0.567***
(0.00)		 -0.899***
(0.00)
Volatilityi,t-1 0.042***
(0.00)		 0.038***
(0.00)		 0.034***
(0.00)		 0.432***
(0.00)		 0.447***
(0.00)		 0.445***
(0.00)
Momentumi,t-1 -0.959***
(0.00)		 -0.756***
(0.00)		 -1.084***
(0.00)
MarValuei,t-1 -7.09***
(0.00)		 -7.93***
(0.00)		 -9.79***
(0.00)
BTMi,t-1 2.524***
(0.00)		 0.93
(0.10)		 0.814***
(0.00)
StkExchi,t-1 0.523***
(0.00)		 0.345***
(0.00)		 0.404***
(0.00)
观测数 154.38 139.51 124.58 140.38 127.69 114.9
adj-R2 0.111 0.118 0.129 0.344 0.355 0.366
  
未引入控制变量 引入控制变量
系统均值 系数大于0
的百分比%		 P<0.05
的百分比%		 P>0.95
的百分比%		 T统计量 系统均值 系数大于0
的百分比%		 P<0.05
的百分比%		 P>0.95
的百分比%		 T统计量
滞后一阶 2.22***
3.18***
3.93***		 91.8
92.4
94.7		 58.7
35.7
45.4		 0.3
0.17
0.0		 48.9
55.5
64.9		 2.66***
3.68***
4.63***		 90.6
89.2
92.9		 37.6
33.3
44.0		 0.3
0.37
0.2		 39.5
41.8
49.5
滞后二阶 -0.9***
-0.81***		 32.9
43.1		 1.2
2.3		 5.3
4.6		 -18.9
-8.7		 -0.09***
-0.47***		 38.8
45.1		 1.9
2.74		 5.28
4.3		 -10.5
-6.92
滞后三阶 -1.1*** 28.7 0.4 5.78 -20.1 -0.85*** 35.3 1.25 5.3 -12.1
  
因变量Volatilityi, t
Sentimenti, t-1 3.535***
(0.00)		 3.971***
(0.00)		 4.385***
(0.00)		 1.018***
(0.00)		 2.841***
(0.00)		 3.038***
(0.00)
Sentimenti, t-2 -0.963***
(0.00)		 -1.82
(0.00)		 -2.681***
(0.00)		 -3.746***
(0.00)
Sentimenti, t-3 0.126***
(0.00)		 0.729***
(0.00)
Volatilityi, t-1 0.048***
(0.00)		 0.045***
(0.00)		 0.041***
(0.00)		 0.444***
(0.00)		 0.468***
(0.00)		 0.464***
(0.00)
Momentumi, t-1 0.076***
(0.00)		 0.672***
(0.00)		 0.577*
(0.05)
MarValuei, t-1 -1.82***
(0.00)		 -2.32***
(0.00)		 -3.35***
(0.00)
BTMi, t-1 1.598***
(0.00)		 0.609***
(0.00)		 0.626***
(0.00)
StkExchi, t-1 0.705***
(0.00)		 0.525***
(0.00)		 0.651***
(0.00)
观测数 154.38 139.51 124.58 140.38 127.69 114.9
adj-R2 0.057 0.054 0.051 0.332 0.344 0.349
  
因变量StkExchi, t
Sentimenti, t-1 0.529***
(0.00)		 0.401***
(0.00)		 0.446***
(0.00)		 0.169***
(0.00)		 0.316***
(0.00)		 0.382***
(0.00)
Sentimenti, t-2 -0.16***
(0.00)		 -0.272***
(0.00)		 -0.145***
(0.00)		 -0.244***
(0.00)
Sentimenti, t-3 0.057***
(0.00)		 0.046***
(0.00)
Momentumi, t-1 0.169***
(0.00)		 0.224***
(0.00)		 0.178***
(0.00)
MarValuei, t-1 -1.47***
(0.00)		 -1.53***
(0.00)		 -1.71***
(0.00)
BTMi, t-1 0.464***
(0.00)		 0.373***
(0.00)		 0.402***
(0.00)
观测数 154.77 139.73 124.78 140.56 127.85 115.05
adj-R2 0.475 0.574 0.569 0.567 0.574 0.571
  
因变量Volatilityi, t
Sentimenti, t-1 2.730***
(0.00)		 2.137***
(0.00)		 3.257***
(0.00)		 1.538***
(0.00)		 1.872***
(0.00)		 3.290***
(0.00)
Sentimenti, t-2 -0.120***
(0.01)		 0.130
(0.21)		 0.340***
(0.00)		 0.180*
(0.10)
Sentimenti, t-3 -0.495***
(0.00)		 -0.059
(0.50)
StkTurnt-1·
Sentimentt-1		 0.296***
(0.00)		 0.274***
(0.00)		 0.221***
(0.00)		 0.214***
(0.00)		 0.351***
(0.00)		 0.237***
(0.00)
StkTurnt-2·
Sentimentt-2		 0.128***
(0.00)		 -0.168**
(0.01)		 -0.250***
(0.00)		 -0.192***
(0.00)
StkTurnt-3·
Sentimentt-3		 -0.132***
(0.00)		 -0.200***
(0.00)
Volatilityi, t-1 0.040***
(0.00)		 0.458***
(0.00)		 0.469***
(0.00)		 0.430***
(0.00)		 0.450***
(0.00)		 0.450***
(0.00)
Momentumi, t-1 -0.958***
(0.00)		 -0.755***
(0.00)		 -1.137***
(0.00)
MarValuei, t-1 -0.110***
(0.00)		 -0.101***
(0.00)		 -9.930***
(0.00)
BTMi, t-1 3.388***
(0.00)		 1.525***
(0.00)		 1.180***
(0.00)
StkExchi, t-1 0.418***
(0.00)		 0.247***
(0.00)		 0.369***
(0.00)
观测数 154.38 138.84 123.38 140.38 127.69 114.90
adj-R2 0.122 0.343 0.353 0.344 0.357 0.366
  
[1] Lee CMC, Shleifer A, Thaler R H. Investorsentiment and the closed-end fund puzzle[J]. Journal of Finance, 1991, 46(1): 75-109.
url: http://dx.doi.org/10.1111/j.1540-6261.1991.tb03746.x
[2] Shleifer A, Vishny R W. The limits of arbitrage[J].Journal of Finance, 1997, 52(1): 35-55.
url: http://dx.doi.org/10.1111/j.1540-6261.1997.tb03807.x
[3] Brown G W, Cliff M T. Investorsentiment and the near-term stock market[J]. Journal of Empirical Finance, 2004, 11(1): 1-27.
url: http://dx.doi.org/10.1016/j.jempfin.2002.12.001
[4] Baker M, Wurgler J. Investor sentiment and the cross-section of stock return[J]. The Journal of Finance Management, 2006, 61(4): 1645-1680.
url: http://dx.doi.org/10.1111/j.1540-6261.2006.00885.x
[5] 饶育蕾, 刘达峰. 行为金融学 [M]. 上海: 上海财经大学出版社, 2003. RAO Yulei, LIU Dafeng. Behavioral Finance [M]. Shanghai: Shanghai University of Finance & Economics Press, 2003. (in Chinese)
[6] 王美今, 孙建军. 中国股市收益、收益波动与投资者情绪[J]. 经济研究, 2004(10): 75-82. WANG Meijin, SUN Jianjun. Stock market returns, volatility and the role of investor sentiment in China[J].Economic Research Journal, 2004(10): 75-82. (in Chinese)
[7] De Long J B, Shleifer A, Summer L H, et al. Positive feedback investment strategies and destabilizing rational speculation[J]. Journal of Finance, 1990, 45(2): 379-395.
url: http://dx.doi.org/10.1111/j.1540-6261.1990.tb03695.x
[8] Daniel K, Hirshleifer D, Subrahmanyam A. Investor psychology and security market: Under-and-over reactions[J]. Journal of Finance, 1998, 53(6): 1839-1885.
url: http://dx.doi.org/10.1111/0022-1082.00077
[9] Barberis N, Shleifer A, Vishny R W. Amodel of investor sentiment[J]. Journal of Financial Economics, 1998, 49(3): 307-343.
url: http://dx.doi.org/10.1016/S0304-405X(98)00027-0
[10] Ashiya M, Doi T. Herdbehavior of Japanese economists[J]. Journal of Economic Behavior & Organization, 2001, 46(3): 343-346.
[11] Stambaugh R F, Yu J, Yuan Y. The short of it: Investor sentiment and anomalies[J]. Journal of Financial Economics, 2012, 104(2): 288-302.
url: http://dx.doi.org/10.1016/j.jfineco.2011.12.001
[12] 程昆, 刘仁和. 投资者情绪与股市的互动研究[J]. 上海经济研究, 2005 (11): 86-93. CHENG Kun, LIU Renhe. Investor sentiment and stock market[J]. Shanghai Economic Review, 2005(11): 86-93. (in Chinese)
[13] 赖琴云. 中国股票市场收益、波动性与投资者情绪的实证研究 [D]. 重庆: 重庆大学, 2010. LAI Qinyun. Empirical study on return, volatility and investor sentiment in Chinese stock market [D]. Chong Qing: Chong Qing University, 2010.(in Chinese)
[14] Qiu L, Welch I. Investor sentiment measures [Z/OL]. (2006-07-31). http://www.nber.org/papers/w10794.
[15] 薛斐. 基于情绪的投资者行为研究 [D]. 上海: 复旦大学, 2005. XUE Fei. Investor Behavior Based on Sentiment [D]. Shanghai: Fudan University, 2005. (in Chinese)
[16] Schmeling M. Investor sentiment and stock returns: Some international evidence[J]. Journal of Empirical Finance, 2009, 16(3): 394-408.
url: http://dx.doi.org/10.1016/j.jempfin.2009.01.002
[17] Baker M, Wurgler J. Investor sentiment in the stock market[J]. Journal of Economic Perspectives, 2007, 21(2): 129-151.
url: http://dx.doi.org/10.1257/jep.21.2.129
[18] Neal R, Wheatley S M. Do measures of investor sentiment predict returns?[J].The Journal of Financial and Quantitative Analysis, 1998, 33(4): 523-547.
url: http://dx.doi.org/10.2307/2331130
[19] Ljungqvist A, Nanda V, Singh R. Hot markets, investor sentiment, and IPO pricing[J]. Journal of Business, 2006, 79(4): 1667-1702.
url: http://dx.doi.org/10.1086/503644
[20] 韩立岩, 伍燕然. 投资者情绪与IPOs之谜——抑价或是溢价[J]. 管理世界, 2007 (3): 51-61. HAN Liyan, WU Yanran. Investor sentiment and the IPOs puzzle: Discount or premium[J]. Management World, 2007(3): 51-61. (in Chinese)
[21] 黄少安, 刘达. 投资者情绪理论与中国封闭式基金折价[J]. 南开经济研究, 2005 (4): 76-112. HUANG Shao'an, LIU Da. Investor sentiment and Chinese closed-end fund discount[J]. Nankai Economic Studies, 2005(4): 76-112. (in Chinese)
[22] 董超, 白重恩. 中国封闭式基金价格折扣问题研究[J]. 金融研究, 2006(10): 36-48. DONG Chao, BAI Chong'en. The study of the close-end fund discount phenomenon in China[J]. Journal of Financial Research, 2006 (10): 36-48. (in Chinese)
[23] 张俊生, 卢贤义, 杨熠. 噪声理论能解释我国封闭式基金折价交易现象吗? 与薛刚、 顾锋、 黄培清三位先生商榷[J]. 财经研究, 2001, 27(5): 59-64. ZHANG Junyi, LU Xianyi, YANG Yi. Can the noise theory explain the discount of closed-end fund in China? Discussing with Mr. Xue Gang, Gu Feng, and Huang Pei Qing[J].The Study of Finance and Economics, 2001, 27(5): 59-64. (in Chinese)
[24] Brown G W, Cliff M T. Investor sentiment and asset valuation[J]. Journal of Business, 2005, 78(2): 405-440.
url: http://dx.doi.org/10.1086/427633
[25] Ben-Raphael A, Kandel S, Wohl A. Measuring investor sentiment with mutual fund flows[J]. Journal of Financial Economics, 2012, 104(2): 363-382.
url: http://dx.doi.org/10.1016/j.jfineco.2010.08.018
[26] Fisher K L, Statman M. Investor sentiment and stock returns[J]. Financial Analysts Journal, 2000, 56(1): 1-23.
[27] 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. ZHANG Qiang, YANG Shu'e. Noise trading, investor sentiment volatility and stock returns[J]. Systems Engineering: Theory & Practice, 2009, 29(3): 40-47. (in Chinese)
url: http://118.145.16.217/magsci/article/article?id=2683261
[28] 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.
[29] 杨林, 杨栋, 刘曼红. 中国证券市场与外部信息的均衡性[J]. 清华大学学报: 自然科学版, 2008, 48(12): 2149-2152. YANG Lin, YANG Dong, LIU Manhong. Effect of outside information on Chinese security markets[J]. Journal of Tsinghua University: Science and Technology, 2008, 48(12): 2149-2152. (in Chinese)
[30] 宋云玲, 罗玫. 业绩预告对中国股市有效性的影响——基于应计异象的实证检验[J]. 清华大学学报: 自然科学版, 2010, 50(12): 1963-1967. SONG Yunling, LUO Mei. Effect of management earnings forecasts on the efficiency of Chinese stock market: Evidence on the accrual anomaly[J]. Journal of Tsinghua University: Science and Technology, 2010, 50(12): 1963-1967. (in Chinese)
[1] HE Ping, LIU Zehao, FAN Zhongjie. Empirical test of the influence of treasury futures trading on interest rate volatility[J]. Journal of Tsinghua University(Science and Technology), 2017, 57(5): 544-549.
[2] LIAO Li, LIANG Yu, ZHANG Weiqiang. Who gambles in the Chinese stock market?—Evidence from individual investor trading data set[J]. Journal of Tsinghua University(Science and Technology), 2016, 56(6): 677-684.
Viewed
Full text


Abstract

Cited
  Shared   
  Discussed   
Copyright © Journal of Tsinghua University(Science and Technology), All Rights Reserved.
Powered by Beijing Magtech Co. Ltd