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我国A股市场一直以来呈现出高度散户化的特征,投资者情绪的影响不容忽视。本文从行为视角基础着手研究,基于反馈环机制分析了投资者情绪与股市波动之间的影响,结果表明两者存在互相影响的滚雪球效应。利用主成分分析的方法构建了一个复合投资者情绪指标。通过E-G协整分析等统计学手段对近十年的A股不同规模的股票指数进行了实证分析,结果表明所构建的情绪指标与A股市场的大、中盘指数存在长期稳定的均衡关系。最后,利用ARIMA模型对建立的短期预测误差模型进行验证,结果表明该模型在未来一段时仍能够保持良好的效果,对A股市场走势具有一定的指导性意义。
China’s A-share market has been characterized by a high degree of individualization, the impact of investor sentiment can not be ignored. Based on the behavioral perspective, this paper analyzes the relationship between investor sentiment and stock market volatility based on the feedback loop mechanism. The result shows that there exists a snowball effect that affects each other. Using principal component analysis, a composite investor sentiment index is constructed. Through the E-G cointegration analysis and other statistical means of the stock market in recent years, A stock index of different sizes were analyzed, the results show that the constructed emotional indicators and the A-share market, the medium and long-term index there is a long-term stable equilibrium relationship. Finally, the ARIMA model is used to verify the short-term forecasting error model. The result shows that the model can still maintain good effect in the next period and is of guiding significance to the trend of A-share market.