投资者情绪与股票收益的实证分析——基于上证投资者情绪综合指数

投资者作为资本市场的主体,其投资情绪的变化往往会对投资结果及整个交易市场产生重要影响,而如何客观合理地度量投资者情绪则成为实际研究中的重难点。考虑到以往使用单个指标作为投资者情绪代理变量容易导致代理有偏和信息不足等问题,抛弃单指标度量方法而选用多维度指标来,并利用因子分析方法构建了第一只上证投资者情绪综合指数(SSMISI),并在该指数的基础上考察了投资情绪指数与股票收益间的内在作用机制。

Positive Analysis between Investor Sentiment and Stock Returns Based on SSMISI

The investors are the main body on capital market.The investor sentiment often has a significant impact on the investors’ own investment result and the whole market.How to objectively and reasonably measure the investor sentiment is a key and difficult issue in actual research.Considering the problem of agent bias and information insufficiency in previously adopted single indicator to measure the investor sentiment,this paper abandons the single indicator measurement method,chooses the composite index and uses the factor analysis method to establish the SSMISI which can measure the investor sentiment on Shanghai Stock Exchange.On the basis of SSMISI,it examines the internal relationship between investor sentiment and stock returns.