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本文选择封闭式基金折价率、IPO规模、IPO首日收益率、新增投资者开户数、换手率月度数据作为情绪代理指标,然后通过主成分分析构建投资者情绪综合指标。通过GARCH模型对投资者情绪变化和和不同规模股市收益率的关系进行实证,研究发现1、投资者情绪变化对大盘股收益影响并不显著,投资者情绪波动不会对大盘股波动产生显著影响。2、投资者情绪变化对中小盘股收益影响显著,投资者情绪波动对中小盘股的波动有显著影响。3、从中小盘股均值方程中情绪变化的系数来看,小盘股的系数大于中盘股,这说明情绪投资者更倾向于投机小盘股股票。
This article chooses closed-end fund discount rate, IPO size, IPO first-day return, new investor account opening, monthly turnover data as the emotional proxy index, and then constructs a comprehensive index of investor sentiment through principal component analysis. Through the GARCH model, this paper empirically tests the relationship between investor sentiment and returns on different scales of stock market. The results show that: 1, the effect of investor sentiment on the return of large cap stocks is not significant, and the investor sentiment volatility will not have a significant impact on the volatility of large cap stocks . 2, investor sentiment changes have a significant impact on the small cap earnings, investor sentiment volatility on the small cap stocks fluctuations have a significant impact. 3. From the coefficient of emotional changes in the mean-value equation of small cap stocks, the coefficient of small cap stocks is larger than that of middle cap stocks, indicating that sentiment investors are more inclined to speculate in small cap stocks.