论文部分内容阅读
我国的股市作为一个典型的新兴市场,投资者情绪的变动对股市的收益变动有很大的影响,通过对投资者情绪对股票收益的影响研究可以使证券管理者和投资者对情绪的变动加以重视,以做出合理的决策。本文借鉴了国内外的研究,同时结合了我国股市的投资者情绪特征,选取了比年度和月度更低频率的周数据,通过主成份分析法构建了一个以封闭式基金折价率、新增A股开户数、上证指数换手率和成交量为间接的情绪指标和以消费者信心指数为直接的情绪指标的投资者情绪复合指数。
As a typical emerging market, the change of investor sentiment in our country’s stock market has a great influence on the stock market’s earnings changes. Through the research on the influence of investor sentiment on stock returns, the stock market managers and investors can make changes to the sentiment Emphasis on making sound decisions. This paper draws on the research both at home and abroad, combines the investor sentiment characteristics of our stock market, chooses the weekly data of lower frequency than the annual and monthly, and constructs a closed-end fund discount rate by principal component analysis, and adds A Share accounts opened, the Shanghai index turnover and volume of indirect emotional indicators and consumer confidence index for the direct emotional indicators of the investor sentiment composite index.