异常情况下基于VARX模型的中国投资者行为研究

内容本文基于市场数据和宏观经济变量，通过引入虚拟变量代表作为大牛市和大熊市的异常情况，利用VARX模型研究了中国证券投资者在异常情况下的行为决策，同时，利用Cholesky正交分解的脉冲响应和方差分解分析了投资者行为变化的主要影响源。结论显示：中国资本市场存在大量的非理性因素和投机因素；与大牛市相比，中国投资者在大熊市的情绪变化更加剧烈；宏观经济对中国投资者行为变化作用不大，债券市场和国际股票市场是影响投资者行为变化的主要因素。

The Behavioral Study of Chinese Investors Based on The VARX under Abnormalities

Based on the market data and macroeconomic variables, behaviors and decision-making of Chinese stock investors are studied by VARX model under the abnormalities with introducing the dummies that represented the Big Bull Market and the Big Bear Market, and principal sources of influence on investors' behavioral changes are analysed by applying the impulse response and variance decomposition on the basis of Cholesky orthogonal decomposition. The main conclusions are as follows. Firstly, there are numerous irrational elements and speculation factors. Secondly, Chinese investors have more intense emotional changes in the Big Bear than in the Big Bull. At last, the behavioral changes of Chinese investors are barely influence by the macro-economy, but the bond market and the international stock market are the principal factors which affect the investors' behavioral changes.