投资者情绪与个股波动关系的微观检验

何平; 吴添; 姜磊; 伍良杰

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清华大学学报（自然科学版） ›› 2014, Vol. 54 ›› Issue (5) : 655-663.

论文

投资者情绪与个股波动关系的微观检验

作者信息 +

Investor sentiment and idiosyncratic volatility: A micro-level test

Author information +

文章历史 +

摘要

伴随中国股票市场的不断发展创新,股票波动性的影响机制研究愈发重要。该文旨在检验投资者情绪与个股波动率关系。该文基于主成分分析法,构建了投资者情绪指数,使用面板数据回归方法,通过对2003年至2011年的 2 454 支个股数据分析研究投资者情绪是否对于股票市场的波动率产生影响。研究结果显示: 投资者情绪确实对股票波动性有显著影响,投资者情绪越高个股波动率越高; 同时影响股票波动性的一个重要渠道是通过影响股票的换手率来实现的。

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.

导出引用

何平, 吴添, 姜磊, 伍良杰. 投资者情绪与个股波动关系的微观检验[J]. 清华大学学报（自然科学版）. 2014, 54(5): 655-663

Ping HE, Tian WU, Lei JIANG, Liangjie WU. Investor sentiment and idiosyncratic volatility: A micro-level test[J]. Journal of Tsinghua University(Science and Technology). 2014, 54(5): 655-663

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