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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。
This article uses the MS-VAR three-zone model to divide our stock market into three kinds of market states: rapid rising period, rapid falling period and low-lying period. According to the impulse response under the three market states, the investor sentiment has an asymmetric effect on the change of the stock index’s return rate, and the stock market is rapidly declining The second is the hovering stage, the two stages of the reverse correction is weak; in the period of rapid price rise, the impact of emotional changes on earnings is small, the role of reverse correction is strong.