中国股市的风险补偿与投资者情绪的关系

Relationship between Risk Premium and In-vestor Sentiment in Chinese Stock Market

摘要: 股市的健康发展是实现经济稳定发展至关重要的一环，为了研究中国股市与投资者情绪之间的关系，本文以中国股票市场为研究对象，首先通过构建GARCH-M和ARMA-GARCH-M模型，采用混频的方法，对比高频数据和低频数据投资者风险补偿系数发现，中国股票市场的风险补偿是不显著的。在此基础上通过建立VAR模型，然后对中国股市收益率与投资者情绪进行格兰杰因果检验，研究两者关系，结果表明：中国股市收益率与投资者情绪存在正相关关系，并在自回归分析中发现投资者情绪的变化受到收益率的正向影响，同时投资者情绪也会受到往期收益率的影响。

Abstract: The healthy development of the stock market is a vital part of the realization of economic stability. In order to study the relationship between the Chinese stock market and the investor sentiment, this article uses the Chinese stock market as the research object. First of all, by constructing the GARCH-M and ARMA-GARCH-M models, the method of mixing is used to compare the risk premium coefficient of high-frequency data and low-frequency data investors. It is found that the risk pre-mium of China’s stock market is not significant. On this basis, the VAR model is established, and then the Chinese stock market yield and investor sentiment are conducted in the Granger causality test. The relationship between the two is studied. The results show that there is a positive correla-tion between China’s stock market yield and investor sentiment. In the self-regression analysis, it was found that the changes in investor sentiment were affected by the positive rate of return. And at the same time, the investor sentiment would also be affected by the previous return.