投资者情绪对股票市场超额收益及波动的影响效应研究

In this paper, This article selects stock rate of turnover , new accounts, A-share trading volume、stock returns, and the consumer confidence index as mood proxy variables from the Shanghai and shenzhen stock exchange, using the improved principal component analysis by entropy value method to calculate the comprehensive index of investor sentiment (INSENT). Based on the GARCH-M model, the effect of investor sentiment on excess returns and risk fluctuation is estimated in different stock market value market in A shares. The results show that investor sentiment in the excess returns of the market influence is persistence, in the small market value of the stock market, the current changes in investor sentiment index has greater influence than the lag issue of sentiment index on the excess yields; In the large-cap stock market, the lagging sentiment index has more impact on the excess yield than the current investor sentiment index changes. In terms of the volatility of excess earnings, small-cap stock market has more affected by the sentiment index, and the negative sentiment changes has more significant effect on the fluctuation. However, the volatility of the excess return of large-cap stock market is not significantly affected by positive or negative sentiment changes.significant effect on the fluctuation. However, the volatility of the excess return of large-cap stock market is not significantly affected by positive or negative sentiment changes.