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为研究投资者情绪对中国股票市场不同行业板块波动的影响,利用主成分分析法构建改进的投资者情绪指数,将投资者信心指数引入到指数编制指标中,并剔除争议较大的封闭式基金折价代理变量。在此基础上,构建个体固定效应模型,对A股市场19个行业板块指数的对数月收益率进行深入分析。结果表明,情绪对有色金属、电子信息、房地产、机械、银行等行业影响较大,而对运输物流、供水供气、汽车、医药等行业影响不太明显。
In order to study the influence of investor sentiment on the volatility of different industries in the Chinese stock market, the author constructs an improved investor sentiment index using principal component analysis, introduces investor sentiment index into index compilation index, and removes the controversial closed-end fund Discount agent variables. On this basis, the individual fixed-effects model is constructed and the monthly returns of 19 sectors in the A-share market are analyzed in detail. The results show that the emotion has great influence on nonferrous metals, electronic information, real estate, machinery, banking and other industries, while the impact on industries such as transportation and logistics, water and gas supply, automobile and medicine is not obvious.