行业特征、市场情绪与收益波动

从行为金融研究的视角,利用源自“上证”(SHSE)A股市场的样本数据,检验了行业特征、市场情绪与收益波动之间的关系。结果表明:在不同的行业特征下,具有类似的投资者行为和风险收益关系,而且均未达到弱式有效;尽管各行业板块之间的收益波动联动效应显著,但市场情绪对不同行业特征的收益波动影响仍有差异性。对管理的启示是,中国证券市场效率还有待进一步提高,利用市场情绪套利时应考虑行业特征。

Industry Characteristic ,Market Sentiment and Return Volatility

From behavioral finance,the relationships among industry characteristic,market sentiment and return volatility were verified by using the sampling data derived from Shanghai Security Exchange(SHSE) A share market.Results show that investors' behaviors and risk return relationship are similar under different industry characteristics and are all inefficient.There are the relative effects of return volatility among industry parts,while the influences of market sentiment on return volatility in different industries are different.It is concluded that the efficiency of stock market is further advanced and the industry characteristics are considered with market sentiment in China stock markets.