宏观经济、投资者情绪和股票市场收益

发布时间：2018-03-24 21:31

本文选题：宏观经济　切入点：先行指数　出处：《系统科学与数学》2017年02期

【摘要】：用宏观经济变化来代表市场中的理性因素,用投资者情绪变化来代表市场中的非理性因素,研究市场中的理性因素和非理性因素对股票市场收益的影响.研究结果发现,投资者情绪的变化和宏观经济的变化都对股票市场收益有显著的正向影响;宏观经济变化和投资者情绪变化对股票市场收益的相对作用大小也会因情绪或者经济状况的不同而存在差异,宏观经济变化在情绪下降时期和经济下行时期对股票市场收益起主要作用,而投资者情绪变化在情绪上升时期和经济上行时期起主要作用,表明了市场上理性因素和非理性因素的力量对比会因情绪变化和宏观经济变化而发生改变.我们的研究结果表明了在对股票市场的研究中区分不同时期以及同时考虑市场中的理性因素和非理性因素的必要性.
[Abstract]:The rational factors in the stock market are represented by the macroeconomic changes, the irrational factors in the market are represented by the changes of investor sentiment, and the influence of the rational factors and the irrational factors in the market on the returns of the stock market is studied. The changes of investor sentiment and macroeconomic have a significant positive impact on stock market returns. The relative effects of macroeconomic changes and investor sentiment changes on stock market returns will also vary depending on mood or economic conditions. Macroeconomic changes play a major role in the stock market returns during the period of depression and economic downturn, while the changes in investor sentiment play a major role in the period of rising sentiment and the period of economic upswing. The results show that the power balance of rational and irrational factors in the market can be changed by changes in mood and macroeconomic changes. Our results show that in the stock market research, the difference between different periods and at the same time. The necessity of considering rational and irrational factors in the market.
【作者单位】：中南大学商学院;长沙理工大学数学与统计学院;中国科学院数学与系统科学研究院管理决策与信息系统重点实验室;
【基金】：国家自然科学基金面上项目(71371195,71471024,71431008,71471020)资助课题
【分类号】：F124;F832.51

【相似文献】