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中国股票市场以缺乏经验的个人投资者为主体,投资者情绪在股票交易过程中扮演着重要角色。本文运用GARCH模型,以新开户数作为我国个体投资者情绪指标、以中证500描述小盘股收益,实证分析个体投资者情绪的波动性与小盘股收益关系。结果表明我国个体投资者行为短期内存在ARCH效应和小盘股的短期收益惯性,高的新开户数对应着高的小盘股收益率,且对股市收益具有“溢出效应”;当以新开户数作为对我国个体投资者情绪指标时,其对小盘股具有较大的解释力度。
China’s stock market is dominated by inexperienced individual investors, and investor sentiment plays an important role in the stock exchange. This paper uses the GARCH model to take the new account number as the emotional index of individual investors in our country, and uses the CSI 500 to describe the earnings of small cap stocks, and empirically analyzes the relationship between individual investor sentiment volatility and the return of small cap stocks. The result shows that the individual investors in our country have short-term ARCH effect and short-term earnings inertia in the short run, and high new accounts correspond to high returns on small cap stocks and have “spillover effect” on stock returns. With the new accounts as the emotional indicators of individual investors in China, its small cap stocks have greater explanatory power.