管理工程学报
管理工程學報
관리공정학보
Journal of Industrial Engineering and Engineering Management
2012年
3期
122~128
,共null页
池丽旭 张广胜 庄新田 宋大雷
池麗旭 張廣勝 莊新田 宋大雷
지려욱 장엄성 장신전 송대뢰
投资者情绪 扩展卡尔曼滤波 向量自回归模型 股票收益
投資者情緒 擴展卡爾曼濾波 嚮量自迴歸模型 股票收益
투자자정서 확전잡이만려파 향량자회귀모형 고표수익
investor sentiment; extended Kalman filter; VAR model; stock returns
基于扩展卡尔曼滤波(EKF)方法,首次构造出过滤市场噪声的投资者情绪指标,并在此基础上应用向量自回归模型分析我国投资者情绪指标与股票收益、股本规模等因素的经验关系,实证结果表明:(1)扩展卡尔曼滤波方法可以获得一个更加清晰反映投资者情绪的状态变量;(2)情绪的变化量比情绪指标本身具有更强的市场收益预测能力;(3)大规模公司股票的收益对投资者情绪的影响程度高于小规模公司股票,而投资者情绪对小规模公司股票的影响显著高于大规模公司的股票,并且情绪波动能够预测小规模股票的短期收益惯性和跨期收益反转的特征,证明情绪波动是影响资产定价的重要主观因素。
基于擴展卡爾曼濾波(EKF)方法,首次構造齣過濾市場譟聲的投資者情緒指標,併在此基礎上應用嚮量自迴歸模型分析我國投資者情緒指標與股票收益、股本規模等因素的經驗關繫,實證結果錶明:(1)擴展卡爾曼濾波方法可以穫得一箇更加清晰反映投資者情緒的狀態變量;(2)情緒的變化量比情緒指標本身具有更彊的市場收益預測能力;(3)大規模公司股票的收益對投資者情緒的影響程度高于小規模公司股票,而投資者情緒對小規模公司股票的影響顯著高于大規模公司的股票,併且情緒波動能夠預測小規模股票的短期收益慣性和跨期收益反轉的特徵,證明情緒波動是影響資產定價的重要主觀因素。
기우확전잡이만려파(EKF)방법,수차구조출과려시장조성적투자자정서지표,병재차기출상응용향량자회귀모형분석아국투자자정서지표여고표수익、고본규모등인소적경험관계,실증결과표명:(1)확전잡이만려파방법가이획득일개경가청석반영투자자정서적상태변량;(2)정서적변화량비정서지표본신구유경강적시장수익예측능력;(3)대규모공사고표적수익대투자자정서적영향정도고우소규모공사고표,이투자자정서대소규모공사고표적영향현저고우대규모공사적고표,병차정서파동능구예측소규모고표적단기수익관성화과기수익반전적특정,증명정서파동시영향자산정개적중요주관인소。
Researchers in the behavioral finance field have been trying to explain the market anomalies. Investor sentiment is a belief about future cash flows and investment risks that cannot be rationally explained by factual data. This paper focuses on investor sentiment and its relationship to stock returns in Chinese stock market. The objeetive of this paper is to explain the relationship between sentiment and stock returns in Chinese stock market from January 2004 to December 2009. We conduct our analysis in two main steps.First we measure investor sentiment based on the EKF (Extended Kalman Filter) method. Second, we test the relationship between investor sentiment and stock returns using the VAR (Vector Auto-Regressive) model. The way to measure investor sentiment becomes the key point because the main purpose of this paper is to test investor sentiment in Chinese stock market. The commonly used sentiment measures in China include closed-fund discount rates, IPO scales and consumer confidence index, etc. However, most of these indices are noise proxies for sentiment. These noise proxies may confound the relationship between investor sentiment and stock returns. Therefore, we use the EKF methodology to filter the market noise in these proxies and extract a clear sentiment variable in the first part. In the second part, we adopt the VAR model to investigate the investor sentiment and its relationship to stock returns. We notice that the level of investor sentiment shows strong self-correlation and weak connection with stock returns in both Shanghai and Shenzhen stock markets. Furthermore, we test the relationship between sentiment fluctuations and stock returns and find that sentiment changes have significantly effect on stock returns. In addition, we compare the effect of investor sentiment on small firms and large firms, and find that large companies' stocks has stronger impact on investor sentiment than small companies' stocks do. On the other hand, investor sentiment has stronger effect on stock returns for small size companies than for the big size companies. Although the classical finance theory does not consider investor sentiment, this paper presents evidence that investor sentiments have significant impact on stock returns. The empirical results show that fluctuations in sentiment have much more predictive power for stock returns than the sentiment measure itself. Moreover, we find that there exists a long-term negative and short - term positive influence on stock returns by sentiment volatility, indicating that investor sentiment plays an important role in the asset price fluctuation. As an emerging stock market with immature economic systems, Chinese stock market is likely to have more irrational investors than other mature markets. In particular, Chinese stock market is characterized by the lack of an earning history, unlimited growth potential, and unsophisticated investors. This study affirms that investor sentiment plays an important role in Chinese stock market.