摘要
选取2011年1月初至2017年3月底新增投资者数量、换手率、平均市盈率及历史波动率四个指标的所有周数据,构造了投资者情绪指标并考察了其与沪深股市及巨潮规模指数的相互影响,结果发现:笔者所构造的投资者情绪指标能够较好的拟合股指的走势,与上证综指的相关系数达到0.8552,与深证综指的相关系数达到0.8837;投资者情绪对短期股票指数有反方向影响,但是对跨期的股票指数有正方向影响;对不同规模指数而言,在低情绪时期,中盘指数表现最佳,在中情绪时期,大盘指数表现最佳,而在高情绪时期,小盘指数表现最佳。
This paper selects all the weekly data of the four indexes, the turnover rate, the average price - earnings ratio and the historical fluctuation rate which were selected from the beginning of January 2011 to the end of March 2017, and con- structs and examines the investor＇s emotional indicators and its impact on tide scale index. The results show that： the in vestor＇s emotional index can fit the trend of the stock index, and the correlation coefficient of the Shanghai Composite Index is 0. 8552, and the correlation coefficient of the Shenzhen Composite Index is 0. 8837 ; investor sentiment has a negative impact on the shortterm stock index, hut it has a positive impact on the stock index; for different size indices, during the low emotional period, the mid -disk index is the best, In the middle emotional period, the broader market index performed the best, and in the high emotional period, the best performance of small - cap index.
出处
《湖南财政经济学院学报》
2017年第3期94-100,共7页
Journal of Hunan University of Finance and Economics
基金
湖南财政经济学院青年教师科研基金项目"科技政策对湖南省全要素生产率的影响研究"(项目编号:Q201408)
