中国股市投资者情绪与股票收益的实证研究被引量：56

An Empirical Study on Investors' Sentiment and Stock Returns in Chinese Stock Market

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摘要应用GARCH-M(1,1)模型检验了中国股市投资者情绪对股票收益的影响,结果发现:机构投资者情绪是影响股票价格的重要因素,但对不同市场和组合的影响方式不同且未形成系统风险;而个人投资者情绪的影响并不显著,也不存在小盘股主要受个人投资者情绪影响的现象。这与国外相关研究结论不同。 This paper investigates the relationship between investors＇ sentiment and stock returns in Chinese stock market using GARCH-M （1,1） model. The results show that the institutional investor sentiment has significant influence on stock price. But the patterns are different among different portfolios, and the change of institutional investors＇ sentiment is not a systematic risk. The individual investor＇s sentiment has no influence on stock price, including the small size stocks. These are different from foreign stock markets.

作者张强杨淑娥杨红

机构地区西安交通大学管理学院上海对外贸易学院金融学院

出处《系统工程》 CSCD 北大核心 2007年第7期13-17,共5页 Systems Engineering

关键词噪音交易投资者情绪股票收益 Noise Trading Investors＇ Scntiment Stock Returns

分类号 F830 [经济管理—金融学]

作者简介张强（1973-），男，江苏宿迁人，西安交通大学管理学院博士研究生，研究方向：资本市场理论与公司理财杨淑娥（1950-），女，陕西西安人，上海对外贸易学院教授，西安交通大学管理学院博士生导师，研究方向：财务理论与公司理财，财务治理杨红（1979-），女，陕西洋县人，西安交通大学管理学院博士研究生，研究方向：公司理财。

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二级参考文献31

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