投资者情绪对股票市场收益和波动的影响-基于开放式股票型基金资金净流入的实证研究

投资者情绪立足于投资者非理性的角度，能够对股票市场的大幅波动作出较好的解释。当前国内以开放式股票型基金角度分析投资者情绪的研究尚为空白。本文以开放式股票型基金资金净流入作为投资者情绪的度量指标，运用GARCH-M模型研究了投资者情绪对股票市场收益和波动的影响。研究结果表明：投资者情绪与股票市场收益之间存在正向反馈作用；且在以股票市值为分类的组合中，发现大市值股票组合受投资者情绪影响的股票市场指数条件波动越大，股票组合收益越大；小市值股票组合受投资者情绪影响的股票市场指数条件波动越大，则股票组合收益反而越小。

The Effect of Investor Sentiment on Return and Volatility of Stock Market—Based on Empirical Study of Net Flow of Open-end Equity Funds

Investor sentiment make a better explanation of the sharp fluctuations of the stock market based on the the investor irrationality. Domestic research analysis of the open-end equity funds based on investor sentiment is still blank. In this paper, equity mutual fund flow is used as investor sentiment, and GARCH-M model is applied to analyse the effect of investor sentiment on stock market. Results show that there is positive feedback relations between investor sentiment and stock return.And in a stock market value for classification combination, it can be found that conditional volatility of large cap portfolio becomes higher, expected return become larger; and that conditional volatility of small cap portfolio becomes higher, expected return become smaller. This study makes a contribution for the further development of the indirect indicators of investor sentiment.