PLS情绪指数对中国股市风险收益关系的影响研究.docVIP

PLS情绪指数对中国股市风险收益关系的影响研究 　　摘要从行为金融学角度研究投资者情绪对中国股市风险收益关系的影响，或有助于更好的解释风险收益关系.采用偏最小二乘法（PLS）构建新的投资者情绪综合指数，同时在对风险的度量中运用个股平均相关性代替总体方差来度量市场风险.研究结果表明PLS情绪指数比常用的主成分分析法所构建的情绪指数及单个情绪代理变量能更好的解释股市收益；平均相关性比市场波动更适合作为市场风险的度量指标；投资者情绪对风险收益关系有显著影响，其中在低情绪期风险和收益之间的相关性不显著，而高情绪期风险和收益之间呈现显著的负相关关系.由实证结果可知中国股市投资者存在非理性行为，应从行为金融的角度去考虑资产定价，同时对各指标的准确度量更有利于完善行为资产定价理论. 　　关键词金融市场；风险收益关系；偏最小二乘法；投资??情绪 　　中图分类号F832.5文献标识码A 　　Impact of PLS Sentiment Index on Relationship between Risk and Return of Chinese Stock Market 　　Sihang LIU1，Chuangxia HUANG2，Xian CHEN1，Fenghua WEN1 　　（1.Business School，Central South University，Changsha，Hunan 410083，China； 　　2.School of mathematics and statistics，Changsha University of Science and Technology，Changsha，Hunan 410114，China） 　　AbstractFrom the perspective of behavioral finance，studying the impact of investor sentiment on the risk return relationship of China stock market may help to better explain the relationship between risk and return.With constructing a new composite sentiment index by the partial least squares（PLS） method and using average correlation to measure risk，it turns out that the PLS sentiment index performs better than other indexes，average correlation is more suitable for measuring market risk，and there is no significant correlation between risk and return during low sentiment，but during high emotional period it shows significant correlation between risk and return.The empirical results show that there exists irrational behavior in Chinese stock market，it is better to consider asset pricing from the perspective of behavioral finance，and the accurate measurement of each index is helpful to refine the behavioral asset pricing theory. 　　Key wordsfinancial markets；relationship between risk and return；PLS method；investor sentiment 　　1引言 　　风险收益关系一直是研究金融市场的热点问题.中国作为新兴市场国家，其股票市场起步较晚，市场运行机制尚未成熟，暴涨暴跌现象严重.不稳定的市场环境使得投资出现极大的不确定性，如何更好的判断风险与收益的关系显得越发重要.Sharpe（1964）[1]基于传统资产定价理论，研究认为市场收益与风险之间为正相关关系.Merton（ 1973）[2]在经典金融学理论框架下，也分析得出相同结论.然而有学者发现收益与风险之间不一定是正相关