投资者情绪对股票收益影响的实证分析

An Empirical Analysis of the Impact of Investor Sentiment on Stock Returns

摘要: 中国股市经过了三十年的发展，是检验投资者情绪对股票收益影响的理想研究对象。以我国A股市场为样本，选取2010年1月至2019年12月的样本区间，通过主成分分析法构建新的综合情绪指标，并运用VAR模型进行投资者情绪对股票收益影响的实证分析。研究表明，投资者情绪对股票市场收益没有显著性影响，原因可能在于中国股票市场逐渐趋于成熟，投资者情绪对其的影响渐渐减弱。

Abstract: Since the development of the Chinese stock market for 30 years, it is an ideal research object to examine the impact of investor sentiment on stock returns. Taking my country’s A-share market as a sample, the sample interval from January 2010 to December 2019 is selected, and a new comprehensive sentiment index is constructed by the principal component analysis method, and then an empirical analysis of the impact of investor sentiment on stock returns is conducted by VAR model. Studies have shown that investor sentiment has no significant effect on stock market returns. The reason may be that the Chinese stock market has gradually matured, and the impact of investor sentiment has gradually weakened.