系统工程理论与实践
繫統工程理論與實踐
계통공정이론여실천
Systems Engineering—Theory & Practice
2012年
1期
27~33
,共null页
投资者情绪 情绪β 股票特征 主成分
投資者情緒 情緒β 股票特徵 主成分
투자자정서 정서β 고표특정 주성분
investor sentiment; sentiment beta; stock characteristic; principal component
通过选取情绪变量，构造了情绪指数和反映股票收益对情绪变化敏感性的指标一情绪β．在此基础上，分析和研究了情绪与股票特征之间的关系．实证研究表明，我国A股市场在一定时期内，规模较大、波动率较高、市净率较高的股票易受情绪的影响，不同年龄的股票并未受投资者情绪的影响．
通過選取情緒變量，構造瞭情緒指數和反映股票收益對情緒變化敏感性的指標一情緒β．在此基礎上，分析和研究瞭情緒與股票特徵之間的關繫．實證研究錶明，我國A股市場在一定時期內，規模較大、波動率較高、市淨率較高的股票易受情緒的影響，不同年齡的股票併未受投資者情緒的影響．
통과선취정서변량，구조료정서지수화반영고표수익대정서변화민감성적지표일정서β．재차기출상，분석화연구료정서여고표특정지간적관계．실증연구표명，아국A고시장재일정시기내，규모교대、파동솔교고、시정솔교고적고표역수정서적영향，불동년령적고표병미수투자자정서적영향．
This paper constructed an aggregate measure of investor sentiment and sentiment Beta, which was defined as the sensitivity of returns to sentiment through choosing sentiment variables. By employing this index, it studied and analyzed the relationship between sentiment and stock characteristic. The empirical result shows that, during a certain period, larger capitalization, higher volatility and higher market-to-book ratio stocks are more sensitive to sentiment in Chinese A-share market. However, there is no significant link between stock age and sentiment.
