中国机构投资者情绪与股票收益关系研究 |
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引用本文:姚德权,黄学军,杨光.中国机构投资者情绪与股票收益关系研究[J].湖南大学学报社会科学版,2010,(6):46-50 |
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中文摘要:基于机构投资者情绪的实际情况修正DSSW模型,分析机构投资者情绪对股票收益的影响机制。以“中国证券分析师指数”作为中国机构投资者的情绪指数,应用GARCH模型对中国沪、深两市机构投资者情绪及其波动与股票收益间关系进行实证分析,结果表明中国机构投资者情绪存在一阶自回归,方差为异方差;机构投资者情绪是影响股票收益的重要因素,其情绪波动(方差)也对股票收益产生一定影响,但未形成系统风险。 |
中文关键词:噪声交易 机构投资者情绪 股票收益 |
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An Empirical Analysis on Institutional Investor Sentiment and Stock Returns in China |
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Abstract:This paper analyzes the mechanism of institutional investor sentiment impact on stock price based on the advised DSSW model. Use “China Securities analyst index” as institutional investor’s sentiment index, test the relationship between institutional investor’s sentiment and stock returns in China’s stock market by GARCH model. It proves that the sentiment from the institution investors is the chief element to influence the price of stock. As well, their fluctuations play a certain effects on it but not lead to the systemic risks. |
keywords:noise trading institution investor sentiment stock returns |
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