混频投资者情绪与股票价格行为

被引：35

作者：

姚尧之 ^{[1
]}

王坚强 ^{[1
]}

刘志峰 ^{[2
]}

机构：

[1] 中南大学商学院

[2] 海南大学经济与管理学院

来源：

管理科学学报 | 2018年 / 21卷 / 02期

基金：

海南省自然科学基金;

关键词：

投资者情绪; 混频数据; MIDAS; 已实现波动;

D O I：

暂无

中图分类号：

F832.51 [];

学科分类号：

1201 ; 020204 ;

摘要：

采用混频数据抽样模型(MIDAS)研究了混频投资者情绪对中国股市收益率及其波动的影响.通过构建日度、周度及月度这三种不同频率的投资者情绪,实证结果发现,混频情绪对当期收益率及其波动都存在显著的正向影响,并且与传统回归模型相比,MIDAS模型具有更强的解释能力.本文进一步使用GARCH-MIDAS模型研究了混频情绪对收益率波动长期成分的影响,发现混频情绪能够显著影响收益的长期波动.

引用

页码：104 / 113

页数：10

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