摘 要
股票市场波动性与投资者情绪之间的关系是金融学研究中的重要议题，其对理解市场行为和制定投资策略具有重要意义。本研究基于行为金融学理论，结合中国股票市场的实际数据，探讨了投资者情绪对市场波动性的影响机制及其动态特征。研究选取了2010年至2022年间沪深300指数及其相关衍生指标作为市场波动性的代理变量，并通过构建综合投资者情绪指数来量化投资者情绪水平。采用面板数据模型和GARCH类模型相结合的方法，分析了投资者情绪与市场波动性之间的非线性关系及时间滞后效应。研究结果表明，投资者情绪显著影响股票市场的波动性，且这种影响具有不对称性：在市场下行时期，负面情绪的放大效应更为明显；而在市场上行时期，正面情绪则表现出一定的抑制作用。此外，研究发现投资者情绪对波动性的影响存在显著的时间滞后特征，通常在情绪变化后的2至4周内达到峰值。本研究的创新点在于首次将多维度的情绪指标整合为综合指数，并引入非线性建模方法以捕捉情绪与波动性之间的复杂动态关系。这一研究不仅深化了对行为因素在金融市场中作用的理解，还为政策制定者和投资者提供了更具实践意义的参考依据，有助于优化风险管理策略并提升市场效率。
关键词：投资者情绪；市场波动性；行为金融学；非线性关系；时间滞后效应
Abstract
The relationship between stock market volatility and investor sentiment is a critical topic in financial research, with significant implications for understanding market behavior and formulating investment strategies. Based on the theory of behavioral finance and incorporating actual data from the Chinese stock market, this study investigates the influence mechanism and dynamic characteristics of investor sentiment on market volatility. The research selects the CSI 300 Index and its related derivative indicators from 2010 to 2022 as proxies for market volatility, while quantifying investor sentiment through the construction of a composite investor sentiment index. By employing a combination of panel data models and GARCH-type models, the nonlinear relationship and time-lag effect between investor sentiment and market volatility are analyzed. The results indicate that investor sentiment significantly affects stock market volatility, with an asymmetric nature: during market downturns, the amplification effect of negative sentiment is more pronounced, whereas during upturns, positive sentiment exhibits a certain inhibitory effect. Additionally, it is found that the impact of investor sentiment on volatility has a significant time-lag feature, peaking within 2 to 4 weeks after sentiment changes. The innovation of this study lies in the first-time integration of multi-dimensional sentiment indicators into a composite index and the introduction of nonlinear modeling methods to capture the complex dynamic relationship between sentiment and volatility. This research not only deepens the understanding of the role of behavioral factors in financial markets but also provides policymakers and investors with more practically relevant references, contributing to the optimization of risk management strategies and the enhancement of market efficiency.
Keywords: Investor Sentiment; Market Volatility; Behavioral Finance; Nonlinear Relationship; Time Lag Effect
目 录
一、绪论 1
（一）股票市场波动性与投资者情绪的研究背景 1
（二）研究股票市场波动性与投资者情绪的意义 1
（三）国内外研究现状综述 1
（四）本文研究方法与技术路线 2
二、股票市场波动性的理论基础与测量方法 2
（一）波动性的定义与特征分析 2
（二）波动性测量的主要指标体系 3
（三）波动性影响因素的理论框架 3
（四）波动性与宏观经济环境的关系 4
（五）波动性在不同市场中的表现差异 4
三、投资者情绪的形成机制与量化分析 5
（一）投资者情绪的概念与来源 5
（二）投资者情绪的量化方法与数据来源 5
（三）情绪对投资决策的影响机制 6
（四）不同类型投资者情绪的比较分析 6
（五）情绪与市场效率的关系探讨 7
四、股票市场波动性与投资者情绪的实证研究 7
（一）数据选取与样本描述 7
（二）波动性与情绪关系的模型构建 8
（三）实证结果分析与解释 8
（四）波动性与情绪交互作用的动态特征 9
（五）实证研究的局限性与改进方向 9
结论 10
参考文献 11
致 谢 12
