CAJ | 학술논문

本文首次研究了中国资本市场上个人投资者情绪（包括散户投资者情绪和大户投资者情绪）与市场收益之间的关系。结果显示，市场收益有助于个人投资者情绪指数的预测，个人投资者情绪却无助于市场收益的预测。这是因为，个人投资者情绪对股票流动性有正面影响，但是股票流动性和收益率之间的关系并不明朗，导致个人投资者情绪不能预测市场收益率。中国股市控制权仍然掌握在机构投资者手里，而且机构投资者比个人投资者更有信息优势，投资行为更理性。本文从股票流动性这个新的角度来解释投资者情绪与市场收益之间的关系，实证结果有助于理解机构投资者的情绪比个人投资者的情绪更不易受股市大盘影响的观点。
본문수차연구료중국자본시장상개인투자자정서（포괄산호투자자정서화대호투자자정서）여시장수익지간적관계。결과현시，시장수익유조우개인투자자정서지수적예측，개인투자자정서각무조우시장수익적예측。저시인위，개인투자자정서대고표류동성유정면영향，단시고표류동성화수익솔지간적관계병불명랑，도치개인투자자정서불능예측시장수익솔。중국고시공제권잉연장악재궤구투자자수리，이차궤구투자자비개인투자자경유신식우세，투자행위경이성。본문종고표류동성저개신적각도래해석투자자정서여시장수익지간적관계，실증결과유조우리해궤구투자자적정서비개인투자자적정서경불역수고시대반영향적관점。
Recent literature suggests that investor sentiment plays an important role in investment decisions. This paper investigates the relationship between individual investor sentiment and market returns in China. An individual investor is defined as either a retail investor or an accredited investor. The evidence indicates that market returns help to predict individual investor sentiment, but individual investor sentiment cannot predict market returns exactly. For individual investors, the hypothesis ＇market returns is not the Granger Cause of sentiment＇ is rejected significantly. On the other hand, ＇sentiment is not the Granger Cause of market return＇ cannot be rejected. We document that individual investor sentiment has a positive effect on stock liquidity, but the relationship between stock liquidity and market returns is unclear. Institutional investors manipulate China＇s stock market, and they have more inside information than individual investors. Consequently, institutional investor investment behavior is more rational than that of individual investors. This paper explains the relationship between investor sentiment and market returns from the new view of stock liquidity, and argues that institutional investor sentiment is more secure than individual investor sentiment. The conclusions have significant implications for capital market policy-makers. Decision-makers should attempt to avoid big ups and downs in the stock market while launching new policy, because market index volatility will strongly change individual investor sentiment. However, individual investors have little influence on market indices because they have relatively little money and information. Many individual investors in China＇s capital market are eager to acquire inside information, and they irrationally copy the investment behavior of institutional investors, which can be dangerous in stock markets. In future research, we will choose appropriate samples and variables, and aim to determine whether institutional investors are more rational than individual investors in the building of stock portfolios.