CAJ | 학술논문

本文研究了在不同估值水平下投资者情绪对于股票市场波动性影响的差异。我们发现，在市场不同的估值阶段，投资者情绪对波动性的影响有很大差异。当市场处于高估值期时，非理性情绪对波动性有显著影响，理性情绪的影响不显著；当市场处于低估值期时，理性情绪对波动性有显著影响，非理性情绪的影响不显著。此外，理性情绪对大盘股波动性的影响更大，非理性情绪则对小盘股波动性的影响更大。本文的结果表明，人的贪婪与恐惧是金融市场中天然的不稳定因素，理性投资者与非理性投资者都是市场波动性的制造者，理性投资者并不具有稳定市场的作用，情绪仍然是情绪。
본문연구료재불동고치수평하투자자정서대우고표시장파동성영향적차이。아문발현，재시장불동적고치계단，투자자정서대파동성적영향유흔대차이。당시장처우고고치기시，비이성정서대파동성유현저영향，이성정서적영향불현저；당시장처우저고치기시，이성정서대파동성유현저영향，비이성정서적영향불현저。차외，이성정서대대반고파동성적영향경대，비이성정서칙대소반고파동성적영향경대。본문적결과표명，인적탐람여공구시금융시장중천연적불은정인소，이성투자자여비이성투자자도시시장파동성적제조자，이성투자자병불구유은정시장적작용，정서잉연시정서。
This paper studies the differences of the way that investor sentiment influences the volatility of stock market under different valuation levels. We find that, when the market valuation is high, irrational sentiment has significant impacts on the volatility of stock market and rational sentiment shows no significant influence. When market valuation is low, the reverse is true. Besides, we find that rational sentiment has greater impacts on tile volatility of large scaled stocks and irrational sentiment has greater impacts on small size ones. The re- sults of this paper show that the greed and fear are the natural destabilizing factor of financial markets. Both ra- tional and irrational sentiments are the generator of market volatility. Rational investor does not have the role of stabilizing the market, sentiment is still emotional.