投资者情绪与沪深300指数波动的关系研究

基于2012年1月至2017年12月沪深两市的月度数据，选取新成立基金数目、换手率、市盈率、成交量、新增开户数、消费者信心指数6个指标，采用主成分分析法，构建投资者情绪综合指标，实证分析投资者情绪与股票价格的相互关系。结果显示：沪深300指数和投资者情绪在长期和短期内均具有稳定的均衡关系；股票价格的波动与投资者情绪的波动对投资者情绪的影响具有滞后效应；格兰杰因果关系检验表明，股票价格波动是投资者情绪波动的格兰杰原因，说明股票价格的波动能够引起投资者情绪的波动；投资者情绪波动对其自身情绪的影响是消极的，股票价格波动对投资者情绪的影响是积极的，二者均受自身影响更大。

Research on the Relationship Between Investor Emotion and Volatility of Shanghai and Shenzhen 300 Index

Based on the monthly data of the Shanghai and Shenzhen stock markets from January 2012 to December 2017, the number of newly established funds, turnover rate, price earnings ratio, trading volume, new account opening, and consumer confidence index were selected. Principal component analysis was used. The method is to construct a comprehensive indicator of investor sentiment and empirically analyze the relationship between investor sentiment and stock price. The results show that the Shanghai and Shenzhen 300 Index and investor sentiment have a stable equilibrium relationship in both long term and short term periods; the fluctuation of stock price and that of investor sentiment have a lagging effect on investor sentiment; the Granger causality test shows that Stock price volatility is the Granger reason for investor sentiment fluctuations, indicating that stock price volatility can cause investor sentiment fluctuations; investor sentiment volatility has negative impact on their own emotions, and stock price volatility has a positive influence on investor sentiment. And both are more affected by themselves.