牛熊市投资者情绪与上证综指协整关系研究.docVIP

牛熊市投资者情绪与上证综指协整关系研究 　　摘 要:本文选择了《股市动态分析》杂志公布的好淡指数作为测度投资者情绪的指标,与现有研究不同的是,将样本期分成了上升和下降两个不同阶段,利用协整检验和基于ECM的格兰杰因果检验方法分析了投资者情绪与上证综指之间的相互关系。研究表明,在全样本和下降时期,上证综指是投资者情绪的单向格兰杰原因;而在股市上升时期,投资者情绪与上证综指互为格兰杰原因。本文的启示在于,监管当局在引导投资者情绪调控股票市场时,需要立足于股市所处的阶段,不同的阶段需要有不同的调节手段。 　　关键词:投资者情绪;上证综指;协整;格兰杰因果 　　中图分类号:F830.91 文献标识码:A 文章编号:1003-5192(2010)05-0053-04 　　 　　Cointegration Analysis on Relation of Investor Sentiment and 　　the Composite Index of Shanghai Stock Exchange 　　YU Quan-hui1,2, MENG Wei-dong?1 　　(1.The College of Economics and Business and Administration, Chongqing University, Chongqing 400030, China; 2.The College of Management, Southwest University of Political Science Law, Chongqing 401120, China) 　　Abstract:This paper regard the Bull/Bear Index in Stock Market Trend Analysis Weekly as investor sentiment index. Differently, this paper has divided a sample time into two stages between rising and descending time. Moreover, this paper makes an empirical analysis on between investor sentiment and the composite index of Shanghai Stock Exchange using cointegration test and Granger causality based on ECM. The results suggest that there is a unidirectional Granger causality from the composite index of Shanghai Stock Exchange to investor sentiment in whole sample time and descending sample time. However, there is bilateral Granger causality between investor sentiment and the composite index of Shanghai Stock Exchange in rising sample time. This article gives suggestion that regulations department should put emphasis on stage of investor sentiment when controlling the rhythm of stock market. 　　Key words:investor sentiment; the composite index of Shanghai Stock Exchange; cointegration; Granger causality 　　 　　1 引言 　　 　　如何度量投资者情绪以及投资者情绪与证券市场价格之间究竟有什么样的关系成为了近年来金融研究的热点问题 　　[1,2]。行为金融学将投资者带有偏差的预期称为投资者情绪(Investor Sentiment),它反映的是投资者的投资意愿或预期的市场人气。由于我国证券市场尚不完善、散户较多,投资者不够理性,情绪化的表现也较为明显,从而实务界与理论界都不否认投资者情绪对证券市场有影响。因此,通过实证研究探讨投资者情绪与股价指数之间的关系,对于掌握我国证券市场运行特征,合理引导投资者行为是非常有意义的。 　　 　　2 文献