日频投资者情绪对A股短线收益率的影响研究

Daily Frequency Investor Sentiment and Its Impact on the Short-Term Yield of A-Shares

摘要: 2023年8月3日，经济日报发文认为，让居民通过股票、基金等渠道参与投资并获取收益，能够将消费意愿转化为消费能力，因此研究A股短线收益率的影响因素具有重要的指导意义。文章基于A股市场的日频数据，在前人研究基础上创新性补充了昨日涨停表现、高度等研究较少的间接度量指标，并结合直接度量指标百度指数，采用主成分分析法构建A股日频投资者情绪指标，分析了投资者情绪与A股短线收益率之间的关系。实证分析结果表明：1) 投资者情绪对A股短线收益率具有显著影响；2) 该情绪指标对近期强势指数收益率、国证2000指数收益率影响较大，对创业板指数的影响较小。这些结论为投资者理性投资和监管者稳定市场环境提供了重要的参考，有助于他们更好地理解和应对市场波动。

Abstract: On August 3, 2023, The Economic Daily published an article stating that enabling residents to participate in investments and obtain returns through channels such as stocks and funds can turn their consumption willingness into consumption ability. Therefore, it is of important guiding significance to study the factors affecting the short-term yield of A-shares. Building upon previous research, this paper innovatively supplements less-studied indirect measurement indicators such as overnight returns of limit up stocks and the maximum consecutive limit-up times, and combines them with the direct measurement indicator, Baidu Index, to construct a daily investor sentiment index for the A-share market using principal component analysis, and analyzes the relationship between investor sentiment and short-term yield of A-shares. The results of empirical analysis show that: 1) Investor sentiment has a significant impact on the short-term yield of A-shares; 2) This sentiment indicator has a greater impact on the recent strong index yield and the CSI 2000 index yield, and has a smaller impact on the GEM index. These conclusions provide important references for investors to invest rationally and regulators to stabilize the market environment, helping them better understand and cope with market volatility.