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本文利用主成份分析法,以换手率、封闭式基金折价率、异常交易量、新增开户数、IPO发行量为代理变量构造投资者情绪指数。进而采用多元回归方法对我国股票市场上证综合指数股票收益率与投资者情绪相关性进行研究。研究结果表明本文所构造的投资者情绪能够在一定程度上反映投资者情绪。
In this paper, principal component analysis is used to construct the investor sentiment index with turnover rate, closed-end fund discount rate, abnormal trading volume, new account number and IPO circulation as proxy variables. Then the multiple regression method is used to study the correlation between the stock returns of SSE and the investor sentiment in the stock market of our country. The result shows that the investor sentiment constructed in this paper can reflect the investor sentiment to a certain extent.