摘要
本文运用MS-VAR三区制模型将我国股票市场分为三种市场状态:快速上涨期、迅速下跌期、低位徘徊期。研究了不同市场状态下投资者情绪变动对沪深300指数收益率的影响,根据在三种市态下的脉冲响应图,投资者情绪变动对股指收益率变动具有非对称效应,股市迅速下跌阶段影响最大,其次为徘徊阶段,这两个阶段的反向修正作用较弱;在股价快速上涨阶段,情绪变动对收益的冲击小,反向修正作用很强。
We use MS-VAR model to divide stock market into three market stages： rapid rising period, rapid falling period and low wandering period. We do empirical study on the effect of investor sentiment changes on the return of HS300 index in different market period. According to the impulse response graph, the effect of investor sentiment changes on the stock index return is asymmetric, which in the rapid falling stage is the biggest, followed by the wandering stage, and the reverse correction effect is very small; while in the rapid rise stage, investor sentiment＇ s impact is the smallest, and reverse correction effect is strong.
出处
《浙江金融》
2017年第6期38-44,共7页
Zhejiang Finance
