| 中国股票市场投资者情绪综合指数的构建 |
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| 引用本文： | 马晓逵,孙杰.中国股票市场投资者情绪综合指数的构建[J].北京工商大学学报(社会科学版),2012,27(6). |
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| 作者姓名： | 马晓逵 孙杰 |
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| 作者单位： | 1. 中国人民大学商学院,北京,100872
2. 新疆财经大学会计学院,新疆乌鲁木齐,830012 |
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| 基金项目： | 中国人民大学研究生科学研究基金项目 |
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| 摘 要： | 借鉴Baker and Wurgler(2006)的方法,结合中国国情,选取封闭式基金折价率、IPO数量、IPO首日收益率、市场交易量、换手率及消费者信心指数等六个指标,作为衡量投资者情绪变化的代理指标,构建了一个能较好地反映中国投资者情绪波动的指数ISI,并剔除了可能包含的宏观经济因素。研究结果表明,ISI对中国股票市场的波动有较好的解释能力。ISI的构建为接下来研究投资者情绪假说对中国资本市场"金融异象"解释提供了很好的工具。
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| 关 键 词： | 投资者情绪 指数构建 主成分分析 |
A Study on Investor Sentiment Index Building in China Stock Market |
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| Ma Xiao-kui
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Sun Jie.A Study on Investor Sentiment Index Building in China Stock Market[J].Journal of Beijing Technology and Business University:Social Science,2012,27(6). |
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| Authors: | Ma Xiao-kui Sun Jie |
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| Abstract: | Using the method of Baker and Wurgler(2006),combined with China's national conditions,this paper selects 6 indexes including closed-end fund discount(CEFD),IPON,IPOR,market trading volume,turnover rate and Consumer Confidence Index(CCI) as investor sentiment proxy indicators to build the Investor Sentiment Index(ISI),which can be a better reflection on the fluctuation of China's investor sentiment,excluding the macroeconomic factors.The results show that ISI can give a better explanation to the volatility in China's stock market.ISI also can provide a good tool for the author's subsequent study on the explanation to "Financial Vision" and investor sentiment in China's capital market. |
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| Keywords: | investor sentiment index building principal component analysis |
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