【摘要】 本文选取科创板市场日频时间序列数据,基于非参数HS模型等方法构造了市场投资者情绪、羊群行为和市场波动的综合指标,在TVP-VAR模型下分析了投资者情绪与羊群行为在不同滞后期和市场发展阶段时对市场波动的影响以及市场波动对前者的反馈。研究发现,投资者情绪对市场波动的影响不存在时变效应,并随时间消减;而羊群行为对市场波动的影响存在时变效应,并随时间累加;投资者情绪与市场波动间的动态关系并不会因市场发展阶段而发生显著差异,但羊群行为与市场波动间的动态关系则在市场发展的前期、中期和后期呈现出明显的异质性。更多还原

【Abstract】 This paper selects the daily frequency trading data of SSE STAR market,and firstly constructs comprehensive indicators of investor sentiment,herd behavior and market volatility index based on nonparametric cross-sectional dispersion model( nonparametric HS model),and then under the time-varying parameter vector autoregressive model( TVP-VAR model) the influence of investor sentiment and herd behavior on market volatility and the feedback of the former are analyzed according to different phase lag and market development phase. It is found that the influence of investor sentiment on market fluctuation does not have a time-varying effect and decreases with time. The effect of herd behavior on market fluctuation is time-varying and accumulates over time. The dynamic relationship between investor sentiment and market volatility is not significantly different due to the market development stage,but the dynamic relationship between herd behavior and market volatility shows obvious heterogeneity in the early,middle and late stages of market development.更多还原