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中国股市投资者情绪测量研究:CICSI的构建

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投资者情绪研究的关键在于情绪的度量.以往人们主要采用封闭式基金折价等单个指标来度量投资者情绪的变化,然而,这些方法均存在着测量指标过于单一和测量结果不够纯正等问题.为改进这些问题,本文在封闭式基金折价、IPO数量及上市首日收益、消费者信心指数和新增投资者开户数等6个单项情绪指标的基础上,构建了一个能较好测度中国股票市场投资者情绪的综合指数(CICSI),同时控制了经济基本面因素对情绪的影响.
Research on the Measurement of Investor Sentiment in Chinese Stock Market: the CICSI's Construction
The measurement of sentiment is the key issue for investor sentiment research. In the past people usually took discount of closed-end funds as an indicator to directly measure the changes of investor sentiment.However, there are two problems in the measures, that is measure indicator too single and the results are not pure enough. In order to overcome the shortcomings, the authors build a suitable measure of investor composite sentiment index in Chinese stock market (CICSI), this index based on 6 individual sentiment indicators, i.e.the closed-end funds at a discount, trading volume, IPO and the first day return of IPO, consumer confidence and new investor accounts, and eliminate the impact of macro-economic cycle.

investor sentimentindex constructionmeasurementeconomic cycle

易志高、茅宁

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南京大学管理学院,江苏南京市,210093

投资者情绪 指数构建 测量 经济周期

国家自然科学基金教育部哲学社会科学创新基地项目

70772031

2009

金融研究
中国金融学会

金融研究

CSSCICSCDCHSSCD北大核心
影响因子:2.047
ISSN:1002-7246
年,卷(期):2009.(11)
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