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基于股指期货的投资者情绪对中国股市影响的实证研究 The Empirical Research on the Effect of Investor Sentiment for the Stock Market of China Based on Stock Index Futures

Author(s): 潘永泉 | 林梓

Journal: Finance
ISSN 2161-0967

Volume: 02;
Issue: 03;
Start page: 151;
Date: 2012;
Original page

Keywords: 投资者情绪 | 股指期货 | 股票收益率 | Investor Sentiment | Stock Index Futures | Stock Return

本文将股指期货合约作为投资者情绪的度量指标,研究在此基础上构建的投资者情绪指标是否对于股票收益率有更强的解释能力,并以此研究其对股票市场的消极情绪是否反映的更为充分。This paper discusses the affect of stock index futures for investor sentiment’s measure and study if the new indicator has better interpretation to stock returns than before. Finally, the reflection of the negative emotions on the market is studied by this indicator.
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