CAJ | 학술논문

以2009年1月～2014年3月上证交易数据为样本，利用主成分分析法构建基于中国国情的投资者情绪综合指数（ CICSI ），并采用VAR模型、格兰杰因果关系检验和脉冲响应等方法考查投资者情绪综合指数与中国IPO首日收益率之间的动态关系。结果表明，投资者情绪对IPO首日收益率有显著的正向影响；同时，IPO首日收益率的波动也会对投资者情绪波动有显著的冲击，但产生的影响在时间上会相对滞后。实证分析结果有助于了解投资者的行为特征、决策的过程及影响机制，对于投资者的管理与引导、定价效率的提高、相关机制的完善具有现实意义。
이2009년1월～2014년3월상증교역수거위양본，이용주성분분석법구건기우중국국정적투자자정서종합지수（ CICSI ），병채용VAR모형、격란걸인과관계검험화맥충향응등방법고사투자자정서종합지수여중국IPO수일수익솔지간적동태관계。결과표명，투자자정서대IPO수일수익솔유현저적정향영향；동시，IPO수일수익솔적파동야회대투자자정서파동유현저적충격，단산생적영향재시간상회상대체후。실증분석결과유조우료해투자자적행위특정、결책적과정급영향궤제，대우투자자적관리여인도、정개효솔적제고、상관궤제적완선구유현실의의。
The paper selects transaction data in Shanghai Stock Exchange from January 2009 to March 2014 and builds the investor composite sentiment index in Chinese stock market （ CICSI） by the method of principal compo-nent analysis.Then the paper establishes VAR model to analyze the dynamic relation ship between composite index of investor sentiment and the initial return of IPO by means of Granger causality test and impulse response function analysis.The results show that investor sentiment can produces a significant positive impact on the initial return of IPO.At the same time,the fluctuations of initial return of IPO can also have a great effect on investor sentiment, though this impact will be lagging behind.The results can contribute to a better comprehension of investor behavior characteristics, decision making process and influencing mechanism.It can also have the practical significance in government guidance, the advancement of pricing efficiency as well as the perfection of mechanism in Chinese stock market.