投资者情绪与股价崩盘风险:来自中国市场的经验证据

随着行为金融学的不断发展,投资者情绪研究日益受到金融风险管理研究者的关注。本文结合国内外主流文献运用主成分分析方法构建了中国市场的投资者情绪指数,并探究了其对中国市场中以中证100、中证200、中证500以及中证1000指数成分股为代表的超大盘、大盘、中盘以及小盘股的股价崩盘风险的影响。研究结果发现,投资者情绪仅对超大盘股产生显著的正向影响,对于大盘、中盘和小盘股均不存在稳健的相关关系。本文的研究为投资者的风险管理以及监管层的风险预警提供了一定的借鉴意义。

Investor Sentiment and Stock Price Crash Risk: Evidence from China

With the development of behavioral finance,financial risk management researchers begin to focus more on investor sentiment studies. In this paper,we construct China stock market investor sentiment index,with the adoption of principal component analysis sourcing from mainstream journals. We connect investor sentiment with the stock crash risks of CSI 100,200,500 and 1000 index constituent stocks,which are representatives of super-large,large,medium,and small cap stocks of China stock market,and find that only super-large cap stocks show significantly positive response to investor sentiment. While,for the other three types of stocks,the investor sentiment demonstrates no robust relations. Our study provides meaningful referential value for not only investors’ risk management but also regulator’s risk pre-warning reminder.