情绪指数与市场收益:纳入中国波指(iVX)的分析

摘要

Together with the traditional sentiment proxies (closed-end fund discount,turnover and number of IPOs) in Baker and Wurgler (2006,2007),the Chinese volatility index (iVX) is used as a new sentiment proxy to build a weekly composite sentiment index for the Chinese A-share market.The dependent relationship between the sentiment index and the market return and the forecasting effect of the sentiment index for the market return are analyzed.It is found that sentiment index and market return are negatively related.Their concurrent dependence relationship is not obvious,however.The sentiment index has a significant forecasting power for the market return three weeks ahead.The inclusion of iVX can significantly improve the forecasting ability,while the number of IPOs is not an effective sentiment proxy.In addition,when constructing the senti ment index using PCA,the performance of the first two principal components is worse than that of the first principal component.The asymmetry of sentiment effect is analyzed and it is found that a positive sentiment in dex has a much greater impact on future market returns than a negative sentiment index.%本文在Baker和Wurgler(2006,2007)研究框架的基础上,将中国波动率指数(iVX)作为一个新的情绪代理变量,结合传统的封闭式基金折价率、股票换手率和IPOs的数量等变量,运用主成分分析法构建了中国A股市场的情绪指数,并分析了情绪指数与市场收益之间的依赖关系和预测效果.研究发现,情绪指数与市场收益呈负向关系.然而,其当期依赖关系并不显著,而情绪指数对其后第三周的市场收益有较显著的负向预测关系.中国波指的加入能够明显提高这种预测效果;相反,IPOs的数量则并不是一个有效的情绪代理变量.此外,采用前两个主成分的加权并不比仅采用第一主成分构建情绪指数在市场收益预测方面表现得更好,甚至表现得更差.最后,分析了情绪效应的不对称性,发现正情绪指数对未来收益的影响要远远大于负情绪指数.