投资者情绪与股票收益：牛熊市对比及中美比较

选择央视看盘BSI指数、封闭式基金折溢价律及消费者信心指数作为投资者情绪的度量指标,采用回归分析、向量自回归模型、脉冲响应函数等方法对比中国股票市场处于牛市与熊市时投资者情绪与上证综指收益率相互影响的不同,并比较中国与美国股票市场中投资者情绪对股票市场收益的影响程度。实证结果表明：中国股市中投资者情绪对股票收益的影响牛市小于熊市;投资者情绪对股票市场收益的影响程度中国股市大于美国股市。

Investor Sentiment and Stock Return:Comparison of Bull and Bear Market and Difference between Chinese and American Mark

This paper mostly focuses on comparing the relationships between investor sentiment and stock return in bull and bear markets as well as studying the difference of investor sentiment’s influence on stock return between Chinese and American markets by using regression analysis, VAR model, impulsive function and some other methods. The investor sentiment indicators picked by this paper consist of BSI, CEFD and Consumer Confidence Index. An empirical analysis shows that: (1) In Chinese market the impact of investor sentiment on stock return in bear market is more significant than the effect of investor sentiment on stock return in bull market. (2) Investor sentiment has bigger influence on stock return in Chinese market than in American market.