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本文以BW指数为参照,结合中国股票市场状况,选取封闭式基金折价率、行业换手率、行业Beta系数、行业股票收益率波动率、行业每股流通市值五个指标构建了GICS 24个行业的客观行业情绪指标及客观市场情绪综合指数。基于2000年—2013年上市公司和股票市场数据,对客观行业情绪综合指标及客观市场情绪综合指标和主观市场情绪进行相关分析,实证结果表明,整体来说,客观市场情绪与主观市场情绪正相关;而以2008年为节点,在此之前,客观市场情绪与主观市场情绪呈现正相关,并且与消费者密切相关的行业如消费者相机选购品、日常消费品等行业,其客观行业情绪和消费者预期指数正相关,而能源、原材料等行业,其行业情绪和企业家信心指数正相关;在此之后,由于受到宏观产业政策的影响,客观市场情绪与主观市场情绪发生背离,呈现显著负相关。
In this paper, taking BW index as a reference and combining with the situation of China\'s stock market, we choose 24 indexes of GICS, including closed-end fund discount rate, industry turnover ratio, industry Beta index, industry stock return volatility and market circulation market capitalization Objective indicators of the industry sentiment and objective market sentiment composite index. Based on the data of listed companies and stock markets from 2000 to 2013, this paper analyzes the correlation between objective indicators of the industry sentiment and the comprehensive indicators of the objective market sentiment and the subjective market sentiment. The empirical results show that on the whole, the objective market sentiment is positively correlated with the subjective market sentiment ; And in 2008 as a node, prior to this, the objective market sentiment and the subjective market sentiment showed a positive correlation, and closely related to consumers such as consumer products such as camera, consumer goods and other industries, the objective industry sentiment and consumption The expectation index is positively correlated, but the sentiment of industries such as energy and raw materials is positively correlated with the confidence index of entrepreneurs; after that, the objective market sentiment and subjective market sentiment are significantly negatively correlated due to the impact of macro-industrial policies .