摘要
选取科创板市场2019年7月22日~2020年7月22日的日频数据,对股票涨跌个数比、市盈率、换手率和成交量涨跌停数目、基于权重的成交金额、动量效应指数、基于权重的换手率、基于符号的跳跃指数和已实现偏度指数8个投资者情绪代理指标通过主成分分析法构造投资者情绪综合指标,应用TVP-VAR模型实证研究投资者情绪和市场流动性对市场稳定性的时变影响。结果表明,投资者情绪与市场稳定性显著正相关,并呈现一定的时变特征,市场非平稳期中稳定性受投资者情绪影响更为显著,短期影响呈现V字形变化;市场流动性与市场稳定性也显著正相关,存在显著的时变性,非平稳期及过渡期中市场流动性的影响更强,短期影响呈现W字形变化。另外,市场稳定性对投资者情绪和市场流动性均具有"正反馈效应",并且不存在明显的时变特征。
Based on the daily frequency data of the SSE STAR market from July 22,2019 to July 22,2020,the comprehensive index of investor sentiment is constructed by principal component analysis for six investor sentiment proxy indexes:the stock price-earnings ratio,the price-earnings ratio,the turnover ratio and the number of trading volume limits,the weight-based turnover,the momentum effect index,the weight-based turnover rate,the symbol-based jump index and the realized skewness index.The TVP-VAR model is used to empirically study the timevarying effects of investor sentiment and market liquidity on market stability.The results found that investor sentiment is significantly positively correlated with the market stability and exhibits certain time-varying characteristics.In the unstable period,the stability of the market is more significantly affected by investor sentiment,and the short-term impact presents a"V-shaped"change.Market liquidity is also significantly positively correlated with market stability,with significant time variability.The impact of market liquidity during non-stationary periods and transition periods is stronger,and the short-term impact presents a"W-shaped"change.Market stability has a"positive feedback effect"on investor sentiment and market liquidity,and there are no obvious time-varying characteristics.
作者
杨文祺
李珂涵
Yang Wenqi;Li Kehan(Center for Economic Research,Shandong University,250100)
出处
《制度经济学研究》
2020年第4期-,共21页
Research on Institutional Economics
作者简介
杨文祺,山东大学经济研究院博士研究生,地址:(250100)山东省济南市历城区山大南路27号山东大学(中心校区)经济研究院,E-mail:sdu_yl@yeah.net;通信作者:李珂涵,山东大学经济研究院博士研究生,地址:(250100)山东省济南市历城区山大南路27号山东大学(中心校区)经济研究院,E-mail:kehanlee@126.com。
