摘要
以2005-2011年上海证券交易所A股市场为研究对象,将个人和机构投资者情绪的影响进行对比研究以明确两种情绪在市场中扮演的角色.以往的相关研究大多关注两者的相互影响或其中一种对市场的影响,本文将两者同时考虑,并利用滚动回归方法从量化股票收益对投资者情绪变化的敏感度这一新视角深入到个股层面.研究表明:机构投资者情绪可以帮助预测个人投资者情绪,反之不成立;另外,机构投资者在市场上表现得更为理性,他们的情绪能够预测后市,而个人投资者情绪不具有预测性;进一步研究后发现,投资者关注度越高的股票,其收益对投资者情绪变化的敏感度越高,这种现象无论是在对个人还是对机构投资者情绪变化的敏感度上均表现出一致性.
Based on the data of Shanghai A-share market and listed companies during the period of 2005 to 2011, this paper makes a comparative study between the effects of individual and institutional investor senti- ment, aiming to clarify their roles in the stock market. Previous studies have mostly studied the interactions of these two or the impacts of either on the market. Instead, we focus on both of them and go deeper into the stock level from a new perspective ： quantifying the sensitivity of stock returns to investor sentiment changes by rolling regression. Based on the DSSW model, this study sets up a theoretical model which combines the inter actions of individual and institutional investor sentiment. The results show that institutional sentiment can pre dict individual sentiment, while the converse is not true. Institutions are relatively rational and their sentiment can predict the market returns, while individual sentiment cannot. The findings further indicate that the sensi tivity of stock returns to investor sentiment changes is comparatively higher for those stocks with higher market attentions. This phenomenon has showed the consistency between sensitivity of stock returns to individual sen timent changes and institutional sentiment changes.
出处
《管理科学学报》
CSSCI
北大核心
2014年第3期70-87,共18页
Journal of Management Sciences in China
基金
国家自然科学基金资助项目(71371113)
山西省高校人文社会科学重点研究基地项目(2011305)
教育部人文社会科学研究项目(13YJA79054)
关键词
个人投资者情绪
机构投资者情绪
股票收益
滚动回归
敏感度
individual investor sentiment
institutional investor sentiment
stock returns
rolling regression
sensitivity
作者简介
刘维奇（1963-），男，山西忻州人，博士，教授，博士生导师．Email：liuwq@SXH．edu．cn
