[1]张普,倪文辉.危机冲击视角下的投资者情绪与股票收益:演变、特征及风险防范[J].常州大学学报(社会科学版),2021,22(06):74-85.[doi:10.3969/j.issn.2095-042X.2021.06.008]
　Zhang Pu,Ni Wenhui.Investor’s Sentiment and Stock Returns from the Perspective of Crisis Impact: Evolution, Characteristics and Risk Prevention[J].Journal of Changzhou University(Social Science Edition),2021,22(06):74-85.[doi:10.3969/j.issn.2095-042X.2021.06.008]
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危机冲击视角下的投资者情绪与股票收益:演变、特征及风险防范()
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常州大学学报(社会科学版)[ISSN:2095-042X/CN:32-1821/C]

卷:
第22卷
期数:
2021年06期
页码:
74-85
栏目:
经济·管理学研究
出版日期:
2021-11-28

文章信息/Info

Title:
Investor’s Sentiment and Stock Returns from the Perspective of Crisis Impact: Evolution, Characteristics and Risk Prevention
作者:
张普; 倪文辉
Author(s):
Zhang Pu; Ni Wenhui
关键词:
危机事件;  投资者情绪;  股票收益
Keywords:
crisis event;  investor’s sentiment;  stock returns
分类号:
F832.5
DOI:
10.3969/j.issn.2095-042X.2021.06.008
文献标志码:
A
摘要:
以2019年7月至2020年7月间,受中美贸易摩擦和新冠肺炎疫情等事件冲击的股市交易数据为研究对象,通过滚动样本回归分析社会公共危机事件发生时投资者情绪对不同类型股票收益率的时变影响。研究发现:投资者情绪对各类型股票收益率均有促进作用,中小盘股收益率对情绪更为敏感,大盘蓝筹股则相对稳定,且在危机事件冲击下二者的差异被放大; 危机事件发生时,投资者情绪对各类型股票收益率的影响系数会显著下降,而后随着投资者情绪的平静,该系数逐步回归稳定; 特别的,受益于高效的危机应对措施,在疫情形势最为严峻的2020年春节前后该系数不降反升。鉴于此,政府部门应重视投资者情绪对金融市场稳定的积极作用,建立投资者情绪预警机制,以便及时疏导投资者情绪,防范金融风险。
Abstract:
Based on the trade data in the stock market from July, 2019 to July, 2020 under the influence of Sino-US trade friction and the Covid-19 pandemic, this paper analyzes the time-varying influence of investor’s sentiment on different types of stock returns when social public crisis occurs by the use of regression analysis of rolling samples. The study finds that investor’s sentiment has a positive effect on the yields of all types of stocks. The yields of small and medium-cap stocks are more sensitive to sentiment, while the blue chip stocks are relatively stable, and the difference between the two will be magnified under the impact of crisis events; when a general crisis event occurs, the coefficient of the influence of investor’s sentiment on the yields of various types of stocks will decrease significantly, and then as investor’s sentiment calms down, the coefficient gradually returns to stability; in particular, benefiting from efficient crisis response measures, during the COVID-19 pandemic, the coefficient did not decrease but increased. In view of this, government departments should pay attention to the positive effect of investor’s sentiment on the stability of the financial market, and an early warning mechanism for investor’s sentiment should be established in order to ease investor’s sentiment and prevent financial risks.

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备注/Memo

备注/Memo:
收稿日期:2021-01-06
作者简介:张普,管理学博士,常州大学经济学院教授、硕士研究生导师; 倪文辉,常州大学商学院硕士研究生。
基金项目:国家社会科学基金一般项目“双向开放视角下我国资本市场韧性的形成机制与提升路径研究”(21BJY007); 江苏高校哲学社会科学研究重大项目“危机视角下基于制度约束与文化属性的资本市场价格发现机制研究”(2020SJZDA041); 江苏省研究生科研与实践创新计划资助项目“危机视角下的投资者情绪与股票市场价格发现机制研究”(KYCX20_2607)。
更新日期/Last Update: 1900-01-01