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中国管理科学

中国管理科学 >

2015 , Vol. 23 >Issue 2: 10 - 20

DOI: https://doi.org/10.16381/j.cnki.issn1003-207x.2015.02.002

论文

投资者情绪、平均相关性与股市收益

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  • 1. 湖南大学工商管理学院, 长沙 410082;
    2. 天津大学管理与经济学部, 天津 300072;
    3. 中国科学院数学与系统科学研究院, 北京 100190
高大良(1970-),男(汉族),湖南岳阳人,湖南大学工商管理学院博士研究生,研究方向:行为金融.

收稿日期: 2013-02-19

  修回日期: 2014-03-06

  网络出版日期: 2015-02-28

基金资助

国家自然科学基金资助项目(71171024,71431008)

收起

Investor Sentiment,Average Correlation and Stock Market Returns

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  • 1. Business School, Hunan University, Changsha 410082, China;
    2. College of Management and Economics, Tianjin University, Tianjin 300072, China;
    3. Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China

Received date: 2013-02-19

  Revised date: 2014-03-06

  Online published: 2015-02-28

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摘要

Pollet和Wilson的研究认为,股市平均相关性-收益关系比股市波动-收益关系能够更好的阐述总体风险-收益关系。本文研究了投资者情绪对股市平均相关性-收益关系的影响。实证结果表明,相比于股市波动,平均相关性对股市预期收益的解释能力明显增强,并且在低情绪期,平均相关性-收益之间的关系并不显著,而在高情绪期,平均相关性-收益关系被削弱为显著的负相关关系,这表明高情绪会削弱总体风险-收益关系。这一结论在随后的稳健性检验中被证明是稳健的。

关键词： 投资者情绪; 风险偏好; 平均相关性; Roll批判

本文引用格式

高大良, 刘志峰, 杨晓光 . 投资者情绪、平均相关性与股市收益[J]. 中国管理科学, 2015 , 23(2) : 10 -20 . DOI: 10.16381/j.cnki.issn1003-207x.2015.02.002

Abstract

Pollet and Wilson said that the average correlation-return relation will be better than the mean-variance relation as proxy for the overall risk-return relation in the capital market. The correlation between investor sentiment and the average correlation-return relation is studied in this paper. After using data from 2001 to 2011 in the Chinese stock market to construct a investor sentiment index, the following empirical results are obtained. Compared with the stock market variance, the average correlation's ability is better than the stock market variance in forcasting earings, while in the low-sentiment periods, the average correlation-return relation is not significant, but during the high-sentiment periods, average correlation-return relation has been weakened significantly, even become a negative correlation. This shows that high sentiment will weaken the overall risk-return relationship. The conclusions' robustness has been proved in the subsequent robustness test, which shows a new mechanism of investor sentiment's influence on expected returns.

Key words： investor sentiment; risk preference; average correlation; roll critique

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