摘要
本文借鉴国内外学者关于投资者情绪度量指标选取的方法,遴选出适合中国证券市场特征的四类投资者情绪指标,通过主成分分析方法提取反映投资者情绪的主要因素,并在此基础上,利用VAR模型对投资者情绪与IPO首日收益之间的领先滞后关系进行刻画,主要考察投资者情绪的新息冲击对IPO首日收益动态脉冲影响。结果表明,投资者情绪显著影响IPO首日收益,投资者对未来的预期同样受到IPO首日表现的影响,投资者情绪指标之间存在显著的扩散和弥漫效应。
Based on the behavior characteristics of investors, this paper focuses on the influences on abnormal new issues initial returns in China in the perspective of investor sentiment . Drawing on previous measuring methods of investor sentiment, the authors select characteristics of four categories of investor sentiment indicators in Chinese stock market, extract major factor of investor sentiment through principal component analysis. As a result, the relationship of lead and lag between investor sentiment and IPO first day return is verified by using VAR model . Also the dynamic pulse impact between each other are identified. The authors argue that investor sentiment has remarkable impact on and also effected by IPO initial return, there is diffusion effect among the investor sentiment.
出处
《经济与管理研究》
CSSCI
北大核心
2010年第5期40-49,共10页
Research on Economics and Management
