投资者情绪与股市波动分解

个股平均相关性和平均方差的乘积能够很好地解释股市波动,股市波动分解是有效的且不受投资者情绪的影响;高涨的投资者情绪会加剧股市波动,在这一影响过程中,高情绪加剧个股平均波动的影响占据着主导地位,与此同时,高情绪对股市平均相关性的削弱会对市场总体波动的提高起到一定的反向修正作用。

Investor Sentiment and Decomposition of Stock Market Volatility

That the stock market volatility can be well explained by the product of the average correlation and the average variance, and the stock market volatility decomposition is valid and not affected by investor sentiment; rising investor sentiment will exacerbate market volatility, and in this process, the impact of high sentiment on the average volatility stocks dominates, while the impact on the average correlation will play a role in reverse correction.