投资者情绪生成机理的研究

基于标准金融理论与行为金融理论相结合的思想，力图刻画投资者情绪的生成机理。以引起投资者情绪变化的货币环境、市场收益、市场波动、相关资产收益等因素为起点，引入市场投资价值、市场预期两个中间变量，建立了包含直接和间接影响两类路径的投资者情绪生成概念模型。使用中国股市2014年7月1日至2017年3月31日间的667组日度数据，在VAR建模的基础上开展实证研究。实证结果表明市场收益对投资者情绪具有直接的正向影响，市场波动和相关资产收益两因素基于市场预期中介变量间接负向作用于投资者情绪，而修正后引入的经济周期波动变量可以基于市场投资价值中介变量对投资者情绪产生正向影响，并进一步发现了市场收益、市场投资价值与投资者情绪之间存在正反馈强化过程。研究揭示出了投资者情绪生成的影响因素体系及其实现路径，将该领域研究深入到机理分析层面，并从一个侧面佐证了中国股市过度投机行为的存在。

Research on the Formatting Mechanism of Investor Sentiment

As a hotspot issue of behavioral finance, most of the existing researches on the investor sentiment focus on its influence on traders' behavior and financial market. But there are few in-depth studies on the influencing factors and generating mechanism of investor sentiment. So which factors have significant impact on investor sentiment, and in which way do they affect investor sentiment? The answers to these questions will be directly related to the in-depth understanding of the development and evolution rule of investor sentiment, as an important behavior financial variable. So research on this topic has certain theoretical and practical value.On the basis of potential inducing factors of investor sentiment revealed by Dasgupta and Chattopadhyay (2014), under the guidance of the combination of standard financial theory and behavioral finance theory, we try to describe the formatting mechanism of investor sentiment in the stock market in this paper. A formatting mechanism concept model of the investor sentiment with three hypothesis on different channel is established. Monetary environment, market yield, market volatility and related asset return are set to be independent variables in the model, as well as market investment value and market expectation are set to be intermediate variables in the concept model. Using 667 groups of Chinese stock market daily data from July 1, 2014 to March 31, 2017, an empirical research is made to by establishing VAR model, which integrates the above independent variables and intermediate variables into a systematic research framework. The empirical results show that the direct influence on investor sentiment by market yield is verified, the hypothesis that market expectation acts as intermediate variable is partially verified, and the hypothesis that market investment value acts as intermediate variable is not verified. It is also found that there exists a positive feedback loop among the market yield, market investment value and investor sentiment.The research in this paper reveals the influencing factors system and its implementation path of the investor sentiment formation, and furthers the research in this field to the level of mechanism, which also provides a more feasible idea for the study of the evolution law of investor sentiment.