投資者情緒與中國股票報酬之研究

Abstract

DeLong, Shleifer, Summers and Waldmann（1990）的雜訊交易者模型指出市場中非理性雜訊交易者的存在會影響效率市場的運作。中國個別投資者參與度比例高，投資者情緒對市場報酬的影響可能也較明顯，因此本研究採用主成分分析法，取得市場週轉率、IPO 家數、IPO 報酬、投資者新增開戶數、消費者信心指數等情緒代理變數，合成一個情緒指標，檢定情緒因子是否能解釋市場報酬。 實證結果發現中國整體股市大盤之股票報酬與投資者情緒呈顯著正向影響。進一步分析可得知，上證所在滬港通實施之後，股票報酬才與投資者情緒具有顯著的正向影響；深交所則是無論在實施滬港通前或後，股票報酬皆與投資者情緒具有顯著的正向影響。此外，市值規模極大、成立年數短的公司之股票報酬越容易受到投資者情緒之影響，而市值規模極小、成立年數短的公司之股票報酬則是在滬港通實施之後，與股票報酬呈現顯著的正向影響。

DeLong, Shleifer, Summers and Waldmann（1990）present a model of asset market in which irrational noise traders with erroneous stochastic beliefs affect market efficiency. A significant proportion of trading volumes by individual investors in China implies the high possibility that investor sentiment plays an important role in the cross-section of stock price. This study attempts to explore how investor sentiment affects the cross-section of stock returns at different stock exchanges in China. In addition, this study pay attention to whether the effect of investor sentiment changes after Shanghai-Hong Kong Stock Connect. In this study , I use principal components analysis to form a composite index of sentiment, which is based on the common variation in five underlying proxies for sentiment：SSE and SZSE stock turnover, the number and average first-day returns on IPOs, the number of new investor accounts, Consumer Confidence Index. Consistent with the most of the literatures’ point of view, the result shows that stocks in a high investor sentiment market tend to have a positive abnormal returns. Moreover, we find out that only after Shanghai-Hong Kong Stock Connect does investor sentiment have positive relationship with return of stocks listed at SSE. On the other hand, investor sentiment has positive relationship with return of stocks listed at SZSE the whole time. In addition, the results manifests that when investor sentiment is high, there are abnormal returns for big stock and old stocks. Investor sentiment only has positive relationship with return of stocks which are relatively small or median-aged.