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通过构造投资者综合情绪指数,把投资者情绪划分为高涨期、低迷期和复苏期,基此考察高涨和低迷两种极端情绪对市场均值-方差关系的影响。结果显示:全样本期(2003.01至2016.06),等权市场收益和流通市值加权收益与方差之间均不存在显著的相关关系;情绪高涨期,等权市场收益与方差之间存在显著的正向关系;情绪低迷期,流通市值加权收益与方差之间存在显著的负向关系。研究结论表明投资者情绪确实对市场均值-方差关系产生影响,而且投资者情绪在高涨期和低迷期对小盘股和权重股的影响也存在差异。
Through constructing investor’s comprehensive sentiment index, investors’ sentiment can be divided into rising period, downturn period and recovery period, on the basis of investigating the influence of the two extreme emotions of rising and downturn on the market mean-variance relationship. The results show that there is no significant correlation between the weighted return of the market of the equal rights and the weighted return of the market capitalization and the variance during the whole sample period (2003.01 to 2016.06). There is a significant positive correlation between the return of the market of the equal rights and the variance Relationship; emotional downturn, the circulation of market-weighted earnings and variance between the significant negative relationship. The conclusion of the study shows that investor sentiment does have an impact on the market mean-variance relationship, and the influence of investor sentiment on small-cap stocks and heavy-weighted stocks during the ups and downs is also different.