摘要
随着金融市场信息化发展,媒体平台成为投资者获取投资信息的重要渠道。基于行为金融的视角,选取2020年3月24日至2021年3月24日的样本数据,运用VECM模型、格兰杰因果检验、脉冲响应分析及方差分解分析来探讨媒体情绪对股市收益率及波动率的影响程度。实证结果表明:收益率是媒体情绪和波动率的格兰杰原因,而媒体情绪与波动率互为格兰杰原因。无论时间长短,媒体情绪对股票市场收益率都呈正影响,而波动率在短期内的增加会导致媒体情绪的快速低落,长期则会引起媒体情绪的缓慢上涨。
With the development of information technology in financial markets,media platforms have become an important channel for investors to obtain investment information.Based on the perspective of behavioral finance,sample data from March 24,2020 to March 24,2021 are selected to explore the influence of media sentiment on stock market yield and volatility based on VECM model,Granger causality test,impulse response analysis and variance decomposition analysis.The empirical results show that stock yield is the Granger cause of media sentiment and volatility,while media sentiment and volatility are the Granger causes of each other.Media sentiment has a positive effect on stock market yield regardless of time duration,while an increase in volatility in the short run causes a rapid downturn in media sentiment and a slow rise in media sentiment in the long run.
作者
范思媛
郭建华
张磊
FAN Siyuan;GUO Jianhua;ZHANG Lei(School of Economics and Management, Shaoyang University, Shaoyang 422000, China)
出处
《邵阳学院学报（社会科学版）》
2022年第3期75-80,共6页
Journal of Shaoyang University:Social Science Edition
基金
湖南省教育厅资助科研项目(21C0589)
邵阳学院教学改革研究项目(2022SZJG32)。
作者简介
范思媛,女,邵阳学院经济与管理学院助教;郭建华,男,邵阳学院经济与管理学院教授。
