摘要
本文研究了在不同估值水平下投资者情绪对于股票市场波动性影响的差异。我们发现,在市场不同的估值阶段,投资者情绪对波动性的影响有很大差异。当市场处于高估值期时,非理性情绪对波动性有显著影响,理性情绪的影响不显著;当市场处于低估值期时,理性情绪对波动性有显著影响,非理性情绪的影响不显著。此外,理性情绪对大盘股波动性的影响更大,非理性情绪则对小盘股波动性的影响更大。本文的结果表明,人的贪婪与恐惧是金融市场中天然的不稳定因素,理性投资者与非理性投资者都是市场波动性的制造者,理性投资者并不具有稳定市场的作用,情绪仍然是情绪。
This paper studies the differences of the way that investor sentiment influences the volatility of stock market under different valuation levels. We find that, when the market valuation is high, irrational sentiment has significant impacts on the volatility of stock market and rational sentiment shows no significant influence. When market valuation is low, the reverse is true. Besides, we find that rational sentiment has greater impacts on tile volatility of large scaled stocks and irrational sentiment has greater impacts on small size ones. The re- sults of this paper show that the greed and fear are the natural destabilizing factor of financial markets. Both ra- tional and irrational sentiments are the generator of market volatility. Rational investor does not have the role of stabilizing the market, sentiment is still emotional.
出处
《金融研究》
CSSCI
北大核心
2013年第10期181-193,共13页
Journal of Financial Research
基金
国家自然科学基金"投资者情绪
资产估值与资产价格异常波动研究"(7097110)
教育部人文社科规划项目"投资者情绪与资产价格异常波动性研究"(09YJA790156)的资助
关键词
投资者情绪
理性与非理性情绪
资产估值
股票市场波动
Investor sentiment, Rational and irrational sentiment, Asset valuation, Stock market volatility
作者简介
胡昌生，武汉大学经济与管理学院教授，Email：hcs_xj@whu．edu．cn
池阳春，武汉大学经济与管理学院博士研究生，Email：cyc49@126．com
