OALib Journal期刊
投资者情绪对股票市场收益和波动的影响-基于开放式股票型基金资金净流入的实证研究
, PP. 49-56
Keywords: 投资者情绪 ,开放式股票型基金净流入 ,股票市场
Abstract:
？投资者情绪立足于投资者非理性的角度，能够对股票市场的大幅波动作出较好的解释。当前国内以开放式股票型基金角度分析投资者情绪的研究尚为空白。本文以开放式股票型基金资金净流入作为投资者情绪的度量指标，运用GARCH-M模型研究了投资者情绪对股票市场收益和波动的影响。研究结果表明：投资者情绪与股票市场收益之间存在正向反馈作用；且在以股票市值为分类的组合中，发现大市值股票组合受投资者情绪影响的股票市场指数条件波动越大，股票组合收益越大；小市值股票组合受投资者情绪影响的股票市场指数条件波动越大，则股票组合收益反而越小。
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