摘要
本文基于2010—2022年沪深两市东方财富网股吧的股评,通过构建新型中文口语化金融情感词典来测度沪深两市投资者的正面、负面和综合情绪指数;在此基础上,采用TVP-VAR模型探究投资者情绪与沪深股市泡沫之间的交互影响效应。研究结论表明:第一,沪深股市泡沫与投资者情绪之间存在非对称的交互影响和因果关系。深市各类投资者情绪与股市泡沫均存在显著的交互影响效应,而沪市仅投资者正面情绪与股市泡沫存在显著的交互影响效应;第二,沪市投资者情绪所产生的传播效应以及对股市泡沫的冲击远大于深市;第三,重要宏观经济指标及金融市场指标也会对投资者情绪产生显著影响,但影响方向不尽相同。本文的研究结论有助于监管部门更加合理地监测和防范股市泡沫风险,促进股市稳定健康发展。
Based on the stock reviews of the Oriental Fortune Online Stock Bar in Shanghai and Shenzhen stock markets from 2010 to 2022,this paperconstructs a new Chinese colloquial financial emotion dictionary to measure positive,negative and comprehensive sentiment indexes for investors in Shanghai and Shenzhen stock markets.On this basis,the TVP-VAR model is used to explore the interactive effect between investor sentiment and bubbles in the Shanghai and Shenzhen stock markets.The results show that,first,there is an asymmetric interaction and causal relationship between Shanghai and Shenzhen stock market bubbles and investor sentiment:there is a significant interaction effect between investor sentiment and stock market bubble in Shenzhen,while only a significant interaction effect between positive investor sentiment and stock market bubble in Shanghai.Second,the propagation effect of investor sentiment in the Shanghai stock market and its impact on stock market bubbles are much greater than those in the Shenzhen stock market.Third,important macroeconomic and financial market indicators can also have a significant impact on investor sentiment,but the directions of impact are not the same.The research findings of this paper can help government departments monitor and prevent bubble risks in China's stock market more rationally and promote the stable and healthy development of the stock market.
作者
郭文伟
卢立晔
钟袁妍
GUO Wenwei;LU Liye;ZHONG Yuanyan
出处
《金融监管研究》
北大核心
2024年第1期61-78,共18页
Financial Regulation Research
基金
国家社会科学基金项目“房价泡沫空间溢出对区域金融风险的影响机制和防范研究”(项目编号:19BJY244)
广东省基础与应用基础研究基金“粤港澳大湾区创新要素流动对科技创新效率的影响机制研究”(项目编号:2023A1515012445)的资助。
