摘要
本文使用贝叶斯分位数回归模型实证分析包含投资者情绪的投资者最优选择模型,结果表明:投资者情绪对于股票收益率存在非线性的正向影响,这是造成投资者对于市场信息出现反应偏差的一个重要原因。同时,市场信息和投资者情绪指标对于我国股票收益率都有着较大的影响作用;当股票出现不同涨跌幅时,市场信息对于股票收益率的影响有着较大的差异性。而考虑了投资者情绪指标之后,投资者对于市场信息的反应偏差明显减小,说明投资者情绪是造成我国投资者对于市场信息出现过度反应和反应不足的重要原因。我国投资者应该树立起良好的投资意识和心态,避免潜在的投资损失。
This paper develops optimal selection model with investor sentiment to prove that investor sentiment has a nonlinear positive influence on the stock returns. It causes investors to have a bias reaction to market information. The empirical results of bayesian quantile regression model also show that market information and investor sentiment have large influence on stock returns. The market information has a large different impact on stock returns when there exists different price change. However, investors＇ bias reaction gets significant reduction when investor sentiment is included in the regression model. It shows that investor sentiment is the main cause for investors＇ overreaetion and underreation to market information. The investors in Chinese stock market should cultivate good investment consciousness ＆ mentality and then avoid the notential investment loss.
出处
《区域金融研究》
2014年第7期47-53,共7页
Journal of Regional Financial Research
基金
国家自然科学基金青年项目(编号:71001061)
上海市"浦江人才"计划项目(编号:10PJC050)
上海市教委科研创新重点项目(编号:13ZS063)资助
