中国股市收益、收益波动与投资者情绪

本文从我国股市的现实情况出发 ,构造理论模型证明 :投资者接受价格信号时表现出来的情绪是影响均衡价格的系统性因子。这一结论得到实际数据的支持 ,实证发现投资者情绪的变化不仅显著地影响沪深两市收益 ,而且显著地反向修正沪深两市收益波动 ,并通过风险奖励影响收益。研究结果表明 ,沪深两市不仅具有相同的投资者行为和风险收益特征 ,而且均未达到弱式有效 ,机构投资者是可能的噪声交易者风险源。

Stock Market Returns, Volatility and the Role of Investor Sentiment in China

We construct a one-period competitive model, which clearly indicates that investors' sentiment results in the change of the equilibrium price. This finding is also supported through empirical analysis. The model and empirical results show that sentiment has significant impact on the return and volatility. The results also show that the two markets have similar characteristics of risk and return. Furthermore, the weak-form market efficiency hypothesis is not found for the two markets. Finally the institutional investors probably are the source of noise-trading risk.