中美投资者情绪的动态相依性

• 作者： 万千 ¹
• 作者单位：
  1.  中国人民大学书报资料中心
• 提交时间：2024-01-17

摘要: 投资者情绪在市场间的传染会加速金融风险的扩散，因此随着中国资本市场的逐步开放，研究投资者情绪传染对中国资本市场的影响越来越迫切。采用波动率指数作为中美投资者情绪的代理指标，并利用 Copula －DCC －GAＲCH 模型和结构变点检验方法，对 2014年以来中美两国投资者情绪动态相依性的总体特征、结构特征、时变性及突变性进行全面考察，结果表明，总体而言，中美两国投资者情绪具有整体的正向动态相依性，其动态相关系数均值为 0． 2448，金融风险容易从美国向中国扩散，但是牛市或熊市下投资者情绪的传染没有明显的差异; 中美投资者情绪的动态相依性具有时变性，并存在 5 个变点，这些特征与中国经济金融基本面因素相关，且除了一个区段动态相关系数均值略小于 0 之外，其他区段动态相关系数均值均远大于 0，说明两国投资者情绪间具有很强的相关性。

Abstract: Investor sentiment contagion between markets will accelerate the spread of financial risks, so with the gradual opening of China's capital market, it is more and more urgent to study the impact of investor sentiment contagion on China's capital market. Using the volatility index as a proxy of investor sentiment in China and the United States, and using the Copula-DCC-GARCH model and the structural change point test method, this paper comprehensively examines the overall characteristics, structural characteristics, time-varying and mutability of the dynamic dependence of investor sentiment in China and the United States since 2014. Investor sentiment in China and the United States has an overall positive dynamic dependence, with a mean dynamic correlation coefficient of 0. 2448, financial risks are easy to spread from the United States to China, but there is no significant difference in the contagion of investor sentiment between bull and bear markets. The dynamic dependence of investor sentiment in China and the United States is time-varying, and there are five change points.These characteristics are related to China's economic and financial fundamentals, and the average dynamic correlation coefficient in one section is slightly less than 0, while the average dynamic correlation coefficient in other sections is much greater than 0, indicating that there is a strong correlation between investor sentiment in the two countries.

• 来自： 万千
• 分类： 应用经济学 >> 金融学
• 稿件状态： 已在期刊出版
期刊名称： 《金融经济学研究》
• 引用： PSSXiv:202401.00099 (或此版本 PSSXiv:202401.00099V1)
  DOI:10.12451/202401.00099
  CSTR:32012.36.PSSXiv.202401.00099
• 推荐引用方式： 万千.中美投资者情绪的动态相依性.金融经济学研究.[PSSXiv:202401.00099V1] (点此复制)