我国投资者情绪对股票收益影响——基于面板数据的研究

摘要

Using the fund flows as a measure for investors＇ sentiment,this paper studies the relationship between investors＇ sentiment and stock market returns based on panel data models.The results show that there is a significant relationship between sentiment and stock return,and the stock return is much more related with optimistic sentiment than with pessimistic sentiment.On the other hand,extreme mood plays an important role in forecasting stock returns in the Chinese stock market.A reasonable measure for investor sentiment is helpful in forecasting the future stock returns and important in practice for both investors and supervisors.%基于基金的资金流量构造投资者情绪指标,应用面板数据模型对我国投资者情绪与股票收益之间的关系展开研究,结果表明情绪对股票收益具有显著影响,其中乐观情绪的影响高于悲观情绪,而极端情绪在我国市场中具有独特的预测能力。利用行为金融学理论建立合理的情绪指标,可以作为预测市场未来波动的可靠指针,为我国证券投资者及监管者提供决策参考依据。