投资者情绪与股价崩盘风险:来自中国市场的经验证据
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摘要
随着行为金融学的不断发展,投资者情绪研究日益受到金融风险管理研究者的关注。本文结合国内外主流文献运用主成分分析方法构建了中国市场的投资者情绪指数,并探究了其对中国市场中以中证100、中证200、中证500以及中证1000指数成分股为代表的超大盘、大盘、中盘以及小盘股的股价崩盘风险的影响。研究结果发现,投资者情绪仅对超大盘股产生显著的正向影响,对于大盘、中盘和小盘股均不存在稳健的相关关系。本文的研究为投资者的风险管理以及监管层的风险预警提供了一定的借鉴意义。
With the development of behavioral finance,financial risk management researchers begin to focus more on investor sentiment studies. In this paper,we construct China stock market investor sentiment index,with the adoption of principal component analysis sourcing from mainstream journals. We connect investor sentiment with the stock crash risks of CSI 100,200,500 and 1000 index constituent stocks,which are representatives of super-large,large,medium,and small cap stocks of China stock market,and find that only super-large cap stocks show significantly positive response to investor sentiment. While,for the other three types of stocks,the investor sentiment demonstrates no robust relations. Our study provides meaningful referential value for not only investors' risk management but also regulator's risk pre-warning reminder.
With the development of behavioral finance,financial risk management researchers begin to focus more on investor sentiment studies. In this paper,we construct China stock market investor sentiment index,with the adoption of principal component analysis sourcing from mainstream journals. We connect investor sentiment with the stock crash risks of CSI 100,200,500 and 1000 index constituent stocks,which are representatives of super-large,large,medium,and small cap stocks of China stock market,and find that only super-large cap stocks show significantly positive response to investor sentiment. While,for the other three types of stocks,the investor sentiment demonstrates no robust relations. Our study provides meaningful referential value for not only investors' risk management but also regulator's risk pre-warning reminder.
引文
[1]Kim J.B.,Li Y.,Zhang L.Corporate Tax Avoidance and Stock Price Crash Risk:Firm-Level Analysis[J].Journal of Financial Economics,2011,100(3):639-662
[2]Callen J.L.,Fang X.Institutional Investor Stability and Crash Risk:Monitoring versus Short-Termism?[J].Journal of Banking&Finance,2013,37(8):3047-3063
[3]许年行,江轩宇,伊志宏,等.分析师利益冲突、乐观偏差与股价崩盘风险[J].经济研究,2012,47(7):127-140
[4]Jin L.,Myers S.C.R2around The World:New Theory and New Tests[J].Journal of Financial Economics,2006,79(2):257-292
[5]Kim J.B.,Wang Z.,Zhang L.CEO Overconfidence and Stock Price Crash Risk[J].Contemporary Accounting Research,2016,33(4):1720-1749
[6]Kim J.B.,Zhang L.Accounting Conservatism and Stock Price Crash Risk:Firm-Level Evidence[J].Contemporary Accounting Research,2016,33(1):412-441
[7]Morck R.,Yeung B.,Yu W.The Information Content of Stock Markets:Why Do Emerging Markets Have Synchronous Stock Price Movements?[J].Journal of Financial Economics,2000,58(1):215-260
[8]江轩宇,许年行.企业过度投资与股价崩盘风险[J].金融研究,2015,(8):141-158
[9]权小锋,吴世农,尹洪英.企业社会责任与股价崩盘风险:“价值利器”或“自利工具”?[J].经济研究,2015,50(11):49-64
[10]Xu N.,Jiang X.,Chan K.C.,et al.Analyst Coverage,Optimism,and Stock Price Crash Risk:Evidence from China[J].Pacific-Basin Finance Journal,2013,25:217-239
[11]曹丰,鲁冰,李争光,等.机构投资者降低了股价崩盘风险吗?[J].会计研究,2015,(11):55-61
[12]Stambaugh R.F.,Yu J.,Yuan Y.The Short of It:Investor Sentiment and Anomalies[J].Journal of Financial Economics,2012,104(2):288-302
[13]Baker M.,Wurgler J.Investor Sentiment and The Cross-Section of Stock Returns[J].Journal of Finance,2006,61(4):1645-1680
[14]文凤华,肖金利,黄创霞,等.投资者情绪特征对股票价格行为的影响研究[J].管理科学学报,2014,17(3):60-69
[15]花贵如,郑凯,刘志远.政府控制、投资者情绪与公司资本投资[J].管理评论,2014,26(3):53-60
[16]王宜峰,王燕鸣.投资者情绪在资产定价中的作用研究[J].管理评论,2014,26(6):42-55
[17]刘维奇,刘新新.个人和机构投资者情绪与股票收益---基于上证A股市场的研究[J].管理科学学报,2014,17(3):70-87
[18]易志高,龚辉锋,茅宁,等.分类思维、投资者情绪与股票价格联动[J].管理评论,2014,26(4):22-30
[19]刘斌,胡菁芯,李涛.投资者情绪、会计信息质量与股票收益[J].管理评论,2018,30(7):34-44
[20]Zhang Z.,Zhang Y.,Shen D.,et al.The Cross-Correlations between Online Sentiment Proxies:Evidence from Google Trends and Twitter[J].Physica A:Statistical Mechanics and Its Applications,2018,508:67-75
[21]Shen D.,Li X.,Zhang W.Baidu News Information Flow and Return Volatility:Evidence for the Sequential Information Arrival Hypothesis[J].Economic Modelling,2018,69:127-133
[22]Shen D.,Liu L.,Zhang Y.Quantifying the Cross-Sectional Relationship between Online Sentiment and the Skewness of Stock Returns[J].Physica A:Statistical Mechanics and Its Applications,2018,490:928-934
[23]金秀,姜尚伟,苑莹.基于股吧信息的投资者情绪与极端收益的可预测性研究[J].管理评论,2018,30(7):16-25
[24]部慧,解峥,李佳鸿,等.基于股评的投资者情绪对股票市场的影响[J].管理科学学报,2018,21(4):86-101
[25]张维,翟晓鹏,邹高峰,等.市场情绪、投资者关注与IPO破发[J].管理评论,2015,27(6):160-167
[26]宋顺林,王彦超.投资者情绪如何影响股票定价?---基于IPO公司的实证研究[J].管理科学学报,2016,19(5):41-55
[27]俞红海,李心丹,耿子扬.投资者情绪、意见分歧与中国股市IPO之谜[J].管理科学学报,2015,18(3):78-89
[28]Seo S.W.,Kim J.S.The Information Content of Option-Implied Information for Volatility Forecasting with Investor Sentiment[J].Journal of Banking&Finance,2015,50:106-120
[29]Yu J.,Yuan Y.Investor Sentiment and the Mean-Variance Relation[J].Journal of Financial Economics,2011,100(2):367-381
[30]Yang A.S.,Wu M.L.Exploring the Relationship between Investor Sentiment and Price Volatility[J].Quantitative Finance,2011,11(6):955-965
[31]熊伟,陈浪南.股票特质波动率、股票收益与投资者情绪[J].管理科学,2015,28(5):106-115.
[32]陈其安,雷小燕.货币政策、投资者情绪与中国股票市场波动性:理论与实证[J].中国管理科学,2017,25(11):1-11
[33]李合龙,冯春娥.基于EEMD的投资者情绪与股指波动的关系研究[J].系统工程理论与实践,2014,34(10):2495-2503
[34]贺志芳,文凤华,黄创霞,等.投资者情绪与时变风险补偿系数[J].管理科学学报,2017,20(12):29-38
[35]Kim J.B.,Li Y.,Zhang L.CFOs versus CEOs:Equity Incentives and Crashes[J].Journal of Financial Economics,2011,101(3):713-730
[36]易志高,茅宁.中国股市投资者情绪测量研究:CICSI的构建[J].金融研究,2009,(11):174-184
[37]魏星集,夏维力,孙彤彤.基于BW模型的A股市场投资者情绪测度研究[J].管理观察,2014,(33):71-73
[38]Bai J.,Perron P.Computation and Analysis of Multiple Structural Change Models[J].Journal of Applied Econometrics,2003,18(1):1-22
(1)http://www.sse.com.cn/aboutus/publication/monthly/上海证券交易所统计月报。
(2)http://www.szse.cn/market/periodical/month/index.html深圳证券交易所统计月报。
[2]Callen J.L.,Fang X.Institutional Investor Stability and Crash Risk:Monitoring versus Short-Termism?[J].Journal of Banking&Finance,2013,37(8):3047-3063
[3]许年行,江轩宇,伊志宏,等.分析师利益冲突、乐观偏差与股价崩盘风险[J].经济研究,2012,47(7):127-140
[4]Jin L.,Myers S.C.R2around The World:New Theory and New Tests[J].Journal of Financial Economics,2006,79(2):257-292
[5]Kim J.B.,Wang Z.,Zhang L.CEO Overconfidence and Stock Price Crash Risk[J].Contemporary Accounting Research,2016,33(4):1720-1749
[6]Kim J.B.,Zhang L.Accounting Conservatism and Stock Price Crash Risk:Firm-Level Evidence[J].Contemporary Accounting Research,2016,33(1):412-441
[7]Morck R.,Yeung B.,Yu W.The Information Content of Stock Markets:Why Do Emerging Markets Have Synchronous Stock Price Movements?[J].Journal of Financial Economics,2000,58(1):215-260
[8]江轩宇,许年行.企业过度投资与股价崩盘风险[J].金融研究,2015,(8):141-158
[9]权小锋,吴世农,尹洪英.企业社会责任与股价崩盘风险:“价值利器”或“自利工具”?[J].经济研究,2015,50(11):49-64
[10]Xu N.,Jiang X.,Chan K.C.,et al.Analyst Coverage,Optimism,and Stock Price Crash Risk:Evidence from China[J].Pacific-Basin Finance Journal,2013,25:217-239
[11]曹丰,鲁冰,李争光,等.机构投资者降低了股价崩盘风险吗?[J].会计研究,2015,(11):55-61
[12]Stambaugh R.F.,Yu J.,Yuan Y.The Short of It:Investor Sentiment and Anomalies[J].Journal of Financial Economics,2012,104(2):288-302
[13]Baker M.,Wurgler J.Investor Sentiment and The Cross-Section of Stock Returns[J].Journal of Finance,2006,61(4):1645-1680
[14]文凤华,肖金利,黄创霞,等.投资者情绪特征对股票价格行为的影响研究[J].管理科学学报,2014,17(3):60-69
[15]花贵如,郑凯,刘志远.政府控制、投资者情绪与公司资本投资[J].管理评论,2014,26(3):53-60
[16]王宜峰,王燕鸣.投资者情绪在资产定价中的作用研究[J].管理评论,2014,26(6):42-55
[17]刘维奇,刘新新.个人和机构投资者情绪与股票收益---基于上证A股市场的研究[J].管理科学学报,2014,17(3):70-87
[18]易志高,龚辉锋,茅宁,等.分类思维、投资者情绪与股票价格联动[J].管理评论,2014,26(4):22-30
[19]刘斌,胡菁芯,李涛.投资者情绪、会计信息质量与股票收益[J].管理评论,2018,30(7):34-44
[20]Zhang Z.,Zhang Y.,Shen D.,et al.The Cross-Correlations between Online Sentiment Proxies:Evidence from Google Trends and Twitter[J].Physica A:Statistical Mechanics and Its Applications,2018,508:67-75
[21]Shen D.,Li X.,Zhang W.Baidu News Information Flow and Return Volatility:Evidence for the Sequential Information Arrival Hypothesis[J].Economic Modelling,2018,69:127-133
[22]Shen D.,Liu L.,Zhang Y.Quantifying the Cross-Sectional Relationship between Online Sentiment and the Skewness of Stock Returns[J].Physica A:Statistical Mechanics and Its Applications,2018,490:928-934
[23]金秀,姜尚伟,苑莹.基于股吧信息的投资者情绪与极端收益的可预测性研究[J].管理评论,2018,30(7):16-25
[24]部慧,解峥,李佳鸿,等.基于股评的投资者情绪对股票市场的影响[J].管理科学学报,2018,21(4):86-101
[25]张维,翟晓鹏,邹高峰,等.市场情绪、投资者关注与IPO破发[J].管理评论,2015,27(6):160-167
[26]宋顺林,王彦超.投资者情绪如何影响股票定价?---基于IPO公司的实证研究[J].管理科学学报,2016,19(5):41-55
[27]俞红海,李心丹,耿子扬.投资者情绪、意见分歧与中国股市IPO之谜[J].管理科学学报,2015,18(3):78-89
[28]Seo S.W.,Kim J.S.The Information Content of Option-Implied Information for Volatility Forecasting with Investor Sentiment[J].Journal of Banking&Finance,2015,50:106-120
[29]Yu J.,Yuan Y.Investor Sentiment and the Mean-Variance Relation[J].Journal of Financial Economics,2011,100(2):367-381
[30]Yang A.S.,Wu M.L.Exploring the Relationship between Investor Sentiment and Price Volatility[J].Quantitative Finance,2011,11(6):955-965
[31]熊伟,陈浪南.股票特质波动率、股票收益与投资者情绪[J].管理科学,2015,28(5):106-115.
[32]陈其安,雷小燕.货币政策、投资者情绪与中国股票市场波动性:理论与实证[J].中国管理科学,2017,25(11):1-11
[33]李合龙,冯春娥.基于EEMD的投资者情绪与股指波动的关系研究[J].系统工程理论与实践,2014,34(10):2495-2503
[34]贺志芳,文凤华,黄创霞,等.投资者情绪与时变风险补偿系数[J].管理科学学报,2017,20(12):29-38
[35]Kim J.B.,Li Y.,Zhang L.CFOs versus CEOs:Equity Incentives and Crashes[J].Journal of Financial Economics,2011,101(3):713-730
[36]易志高,茅宁.中国股市投资者情绪测量研究:CICSI的构建[J].金融研究,2009,(11):174-184
[37]魏星集,夏维力,孙彤彤.基于BW模型的A股市场投资者情绪测度研究[J].管理观察,2014,(33):71-73
[38]Bai J.,Perron P.Computation and Analysis of Multiple Structural Change Models[J].Journal of Applied Econometrics,2003,18(1):1-22
(1)http://www.sse.com.cn/aboutus/publication/monthly/上海证券交易所统计月报。
(2)http://www.szse.cn/market/periodical/month/index.html深圳证券交易所统计月报。
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