| 投资者情绪对A股市场的影响研究 |
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| 引用本文： | 文凤华,饶贵添,杨晓光.投资者情绪对A股市场的影响研究[J].长沙理工大学学报(社会科学版),2011,26(1):16-21. |
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| 作者姓名： | 文凤华 饶贵添 杨晓光 |
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| 作者单位： | 文凤华,WEN Feng-hua(长沙理工大学,经济与管理学院,湖南,长沙,410004;湖南省金融工程与金融管理研究中心,湖南,长沙,410004);饶贵添,RAO Gui-tian(长沙理工大学,经济与管理学院,湖南,长沙,410004);杨晓光,YANG Xiao-guang(长沙理工大学,经济与管理学院,湖南,长沙,410004;中国科学院数学与系统科学研究院管理、决策信息系统重点实验室,北京,100080;湖南省金融工程与金融管理研究中心,湖南,长沙,410004) |
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| 基金项目： | 国家自然科学基金，国家973计划，湖南省杰出青年基金，湖南省教育厅创新平台项目 |
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| 摘 要： | 根据开户比例以及股市收益率的日数据和周数据,通过格兰杰因果关系来研究投资者情绪与股市是否存在因果关系,并建立向量自回归模型来考察投资者情绪变动与沪市和深市之间的影响关系。结果表明:不管是短期内还是长期内,投资者情绪短期内对深市的影响要大于沪市,在长期内投资者情绪对股市的影响要大于短期对股市影响,并且开户比例波动是沪深300指数收益率波动、上证A指收益率波动、深证A指收益率波动的Granger原因,但是反过来要依据期限不同而定。
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| 关 键 词： | 投资者情绪 股市收益 向量自回归 |
An Investigation of the Influence of Investors' Mood upon a Certain Stock Market |
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| WEN Feng-hua,RAO Gui-tian,YANG Xiao-guang,.An Investigation of the Influence of Investors' Mood upon a Certain Stock Market[J].Journal of Changsha University of Science & Technology,2011,26(1):16-21. |
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| Authors: | WEN Feng-hua RAO Gui-tian YANG Xiao-guang |
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| Institution: | WEN Feng-hua1,3,RAO Gui-tian1,YANG Xiao-guang1,2,3(1.School of Economics and Management,Changsha University of Science and Technology,Changsha,Hunan 410004,China,2.Research College of Mathematics and Systematic Science,China ScienceAcademy,Beijing 100080,3.Research Center of Hunan Provincial FinancialEngineering and Management,China) |
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| Abstract: | According to the percentage of the people who have established an account and data of daily rate of return and the data of weekly rate of return of the stock market,by the means of Granger Causality,this article probes into the issue whether or not there exists a cause and effect relationship between the mood of the investors and the stock market,and seeks to establish the vector autoregression model for the investigation of the change of mood of the investors and the interactions between Shanghai and Shenz... |
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| Keywords: | mood of investors income of stock market vector autoregression |
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