中国机构投资者情绪与股票收益关系研究.pdfVIP

24 6 ( ) V ol . 24 , No . 6 2 0 1 0 1 1 Jo ur nal of H unan U niv er sity( Social Sciences) N o v. 2 0 1 0 * 1 1 2 姚德权 , 黄学军 , 杨 光 ( 1. , 410082 2. , 510000) [ ] 基于机构投资者情绪的实际情况修正D SSW 模型, 分析机构投资者情绪对股票收 的影响机制 以 中国证券分析师指数 作为中国机构投资者的情绪指数, 应用G AR CH 模型对中国沪深两市机构投资者情绪 及其波动与股票收 间关系进行实证分析, 结果表明中国机构投资者情绪存在 一阶自回归, 方差为异方差 机构投 资者情绪是影响股票收 的重要因素, 其情绪波动( 方差) 也对股票收 产生 一定影响, 但未形成系统风险 [ ] 噪声交易 机构投资者情绪 股票收 [ ] F830. 59 [ ] A [ ] 1008 ! 17 63( 2010) 0 6! 004 6! 05 An Empirical Analysis on Institutional Investor Sentiment and Stock Returns in China 1 1 2 Y A O Dequ an , H UA N G X ueju n , Y A N G Gu an g ( 1. Scho ol o f Bu ssiness A dm inist ratio n, H unan U niversit y, Ch angsh a 410082, China 2. Gu angzhou Centra l Subbranch, T he Peo ples Bank of China, G uang zhou 510000 , China) Abstract:T his paper analyz es t he m ech anism of instit utio nal invest o r sent iment imp act on st ock price based on t he adv ised D SSW mo del. U se China Securities analyst index as in st it ut ional invest or ∀ s sent i m ent index, t est t he r elat ionship bet w een in stit utional investo r∀ s sentim ent and st ock return s in China∀ s st ock m ar ket by GA R CH m odel. It pr oves t h at t he sent im ent fro m t he in st itut ion invest ors is t he chief ele m ent t o inf lu ence t he price o f st ock. A s w ell, t heir f luct uat ion s play a cert ain ef f ects o n it but not lead t o the systemic risks . Key words: noise t rading in st itut