投资者情绪对股价的影响——基于AH股交叉上市股票的实证分析

投资者情绪对股票价格的影响反映了资本市场上非理性因素对资产定价的作用程度。本文采用证券投资基金的损失率来构建投资者情绪指数,并以此研究了其对中国AH股交叉上市公司股票价格的影响。研究表明,在控制Fama-French三因素以及宏观经济变量的情况下,投资者情绪对同期的A股市场和H股市场都具有显著影响,即情绪高涨时,股票价格上涨,反之亦然;此外,投资者情绪对A股市场未来12月的收益率具有显著的反转预测,对H股市场未来6月的收益率具有显著的反转预测,说明中国大陆股票市场受投资者情绪影响的持续时间更长,反映了两个市场间非理性程度的差异和市场效率差异。本文的研究丰富了现有文献,为A股市场交易和监管制度的完善提供了理论和实证依据。

The Effect of Investor Sentiment on Stock Pricing-An Empirical Study Based on A-H Shares of Cross-listing Companies

The impact of investor sentiment on the stock price reflects irrational factors effect on the capital markets to the extent of asset pricing. Security investment fund's loss ratio in capital market is used to construct investor sentiment index and its effect on stock pricing of A-H shares of cross-listing companies in China is studied. The study shows that after controlling Fama-French three factors and other macro-economic variables, the investor sentiment has a significant impact on A-share market and H-share market, which means that the stock prices will rise as soon as investor sentiment is high and vice versa. Besides, investor sentiment on the A-share market can significantly forecast the price reversion in the next 12 months while investor sentiment on the H-share market can significantly forecast the price reversion in the next 6 months, which indicates that the impact of investor sentiment on Chinese mainland stock market has a longer persistence than that of Hong Kong stock market and that there are significant irrational differences and efficiency differences between the two markets. This study contributes to the literature and provides theoretical and empirical evidences to trading and regulatory systems of A-share market.