摘要
为研究股票板块表现异质性与投资者情绪关联问题,通过聚类分析的方法对行业板块进行异质性分析,采用偏最小二乘方法构建评价指标,对行业板块的投资者情绪进行测度,进而研究了投资者情绪的板块异质性对股票收益率的影响.研究表明:行业板块的异质性导致投资者情绪也具有板块异质性特征,收益率波动程度存在差异.通过实证分析投资者情绪对于不同板块股票收益率的异质性影响,能够帮助投资者的决策行为更加趋于理性,有助于市场回归理性交易.
Aiming at the inconsistency problems on price fluctuation of industry sectors existed in the stock market,clustering analysis is adopted to study the heterogeneity of industry sector.Partial least squares method is used to establish an evaluation index system,and measure the investor sentiment in industry sectors,as well as the impact of investor sentiment heterogeneity on stock returns.It reveals the mechanism and path between the performance of sectors heterogeneity and investor sentiment.The research shows that the heterogeneity of industry sector leads to the same characteristics with investor sentiment,and investor sentiment leads to heterogeneity of returns on sectors.So guiding investor sentiment from the perspective of sectors can help the both sides of the market return to rational trading.
作者
李伯华
赵宝福
吴津津
贾凯威
LI Bohua;ZHAO Baofu;WU Jinjin;JIA Kaiwei(School of Business Administration,Liaoning Technical University,HuLudao 125105,China)
出处
《辽宁工程技术大学学报（自然科学版）》
CAS
北大核心
2022年第2期168-174,共7页
Journal of Liaoning Technical University (Natural Science)
基金
辽宁省教育厅科研项目(LJ2019ZL006)
辽宁省教育厅人文社科项目(LJCR004)
辽宁省社会科学规划基金(L19BJY027)
关键词
偏最小二乘
投资者情绪
双向固定效应
行业板块
板块异质性
partial least squares
investor sentiment
interaction fixed effect model
industry sector
block heterogeneity
