本文运用扩展卡尔曼滤波的方法估计出投资者情绪指数,将上证综指收益率与理性情绪指数和非理性情绪指数进行广义脉冲响应函数分析。得出理性情绪与非理性情绪都在第2个月对上证综指收益率具有最大的正向冲击;收益率对理性情绪的正面影响具有较长的持续效应,对非理性情绪的正面冲击逐渐减小。 In this paper, we use extended Kalman filter to estimate investor’s sentiment index, and generalized impulse response function analysis of Shanghai Stock Exchange’s return rate, rational sentiment index and irrational sentiment index. It is concluded that rational emotions and irrational emotions all have the biggest positive impact on the yield of Shanghai Stock Exchange in the second month. The positive impact of yield on rational emotions has a long lasting effect, and the positive impact on irrational emotions gradually Decrease