投资者情绪和市场利率对证券市场指数收益影响特点的动态刻画

本文基于2006年10月到2015年6月市场层面的投资者情绪和上证综指收益率,刻画了投资者情绪和市场利率对证券市场指数收益率的影响。首先,本文通过误差修正模型研究了短期层面投资者情绪对证券市场收益的影响特点,补充了以往在长期层面和整体收益水平上投资者情绪对市场收益影响的研究。由于市场层面的投资者情绪会受到宏观政策影响,之后本文将市场利率作为政策因素,通过分位数回归分析了不同市场收益水平下,市场利率和剔除了宏观政策因素的投资者情绪对市场收益的影响。研究结果表明:投资者情绪和证券市场收益之间的关系在短期层面上更为显著;当我国的证券市场环境处于“牛市”时,市场利率和投资者情绪均会对证券市场指数收益产生显著的影响,且随着市场收益水平的逐步上升,市场利率的反向作用和投资者情绪的正向作用均会逐渐加强。

Dynamic Characterization of the Influence of Investor Sentiment andMarket Rates of Interest on Stock Market Index Returns

Based on the existing achievements and research gaps of domestic and foreign scholars on investor sentiment and market rates of interest, this paper mainly focuses on the verifying and solving the two following questions. On the one side, from the perspective of the long-term level, a large number of researches have proved and analyzed the relationship between stock market index returns and investor sentiment. As for the short-term research, however, it still needs further exploration. Consequently, in the paper, the authors discuss what is the relationship between stock market index returns and investor sentiment in the short-term level and what are the similarities and differences in the long-term level. On the other side, in terms of the overall and average level, many domestic scholars have made many efforts on the influences of investor sentiment and market rates of interest on stock market. Then, in this paper, under different market environments and the levels of income, how the stock market index returns will be dynamically affected by the market rates of interest and investor sentiment is analyzed.
   On the basis of the data from June 2015 to October 2006, the author utilizes the Shanghai Interbank Offered Rate (SHIBOR)as a representative of the market rates of interest and the return rate of Shanghai composite index as a representative of stock market returns. The investor sentiment index at the market level will be established without the effects of the macro economic cycle. Additionally, based on the co-integration test of the long-term relationship between investor sentiment and stock market returns, this paper constructs an error correction model (ECM) to describe the short-term relationship between the two factors. Combined with the mean regression results, under the background of different market environment and income level, the authors use the quantile regression model and selects different quantiles to depict and study the dynamic affecting process of market rates of interest and investor sentiment on stock market index returns.
   By analyzing and comparing with the investor sentiment and stock market returns from the perspective of long-term and short-term, we find that there is a long-term stable co-integration relationship between stock market index returns and investor sentiment. Moreover, compared with the long-term level, the level and significance of the influences of investor sentiment are stronger in short-term level, which plays an important role in the factors that affect the stock market returns.
   The results of mean regression and quantile regressions when picking different quantiles illustrate that on the mean level, the market rates of interest have no significant impact on the stock market returns. When in the bull market, there is a significant negative correlation between stock market returns and market rates of interest but a significant positive correlation between stock market returns and investor sentiment. Furthermore, in the bull market, with the increase of stock market returns, the two related functions will gradually be strengthened. When the market environment is extremely depressed, the rise of investor sentiment will have a significant positive effect on market returns.
   To sum up, firstly, as for making short-term decisions, investor sentiment should be considered as an important factor. Secondly, when the stock market returns is at a high level, market rates of interest and investor sentiment can be utilized as an effective means of financial regulation. Last but not the least, when the stock market has a large loss, regulators can stimulate investor sentiment to promote the recovery of the market boom.