噪音交易与股市波动
合集下载
相关主题
- 1、下载文档前请自行甄别文档内容的完整性，平台不提供额外的编辑、内容补充、找答案等附加服务。
- 2、"仅部分预览"的文档,不可在线预览部分如存在完整性等问题,可反馈申请退款(可完整预览的文档不适用该条件!)。
- 3、如文档侵犯您的权益，请联系客服反馈,我们会尽快为您处理(人工客服工作时间：9:00-18:30)。
❖机构情绪与dividend yield, SMB, HML显著相关
Conclusion 3
❖ 在第二个模型中，无论是个体还是机构，理性情绪比非理性情
绪对于Stock Returns的影响更为显著。
❖ 在波动性方面，投资者情绪中只有非理性部分才会对Stock
Volatility产生影响。同时这种影响是非对称的，看涨情绪 (irrational bullish sentiments)要比看跌情绪影响更显著
❖Previous research focuses on the mean of stock returns
while less attention is given to the impact of sentiment on the formation of conditional volatility.
Noise trading and stock market volatility
---Rahul Verma, Priti Verma ---published in Journal of MULTINATIOANL FINANCIAL MANAGEMENT
Introduction
❖Noise trader models in finance imply that subsets of
Data
❖Frequency: monthly ❖ Individual Investor sentiment index: AAII ❖ Institutional investor sentiment index: Investors Intelligence
investors often do not make investment decisions based on a company’s fundamentals and are capable of affecting stock prices by way of unpredictable changes in their sentiment.
❖ 同时还发现，这种波动性溢出是不对称的；There is greater
effect of bullish than bearish investor sentiments on stock market volatility
❖ 股票市场对个体情绪的影响是显著的，对机构情绪的影响是不
显著的，这表明，个体投资者更倾向于是正反馈交易者
❖ 最后我们发现，Stock Returns and volatility对于个体非理性情
绪有着显著的影响，且该影响为正。这充分表明，个体投资者 是正反馈交易者
Model
❖ The Vector Autoregressive model
❖ PS: Since the purpose of the paper is not to analyze how
market return and volatility are affected by its past innovations, but rather to investigate the spillover effects between sentiments and market volatility, we have specified the constraint i≠j.
Introduction
❖Three contributions to the extant literature:
❖Stock volatility ❖Rational and noise (irrational) components of
investor sentiment ❖Asymmetrical affect
Model
-Z
/ ，即标准残差项
j,t 1 j,t 1 j,t 1
- a 表示变量j到变量i的波动溢出，如显著的a 表示个体情绪的波动将会显著影响
ຫໍສະໝຸດ Baidu
i, j
1,2
收益率的波动
- positive innovation相对于 negative innovation对于 conditional volatility的不对称影响
可以通过 |1 | / | 1 | 这个比值进行衡量
j
j
-当 0时，上面的比值将更大，这意味着正的抖动（或新息）比负的抖动对于波 j
动率的影响要更大
- 显著为负的a 与显著为正的 的组合表示：变量j的正的抖动与负的抖动相比，其
i, j
j
对于变量i波动率的影响要更大。这说明相应的波动率溢出是不对称的。
❖ 同时还发现，个体情绪会受到机构情绪的影响，反之并不成立
Conclusion 2
❖ 不像以前的研究将投资者情绪看作完全非理性的，本文发现，
投资者情绪同时被理性成分和非理性成分所驱动
❖ 个体情绪与Business Conditions ,inflation, dividend yield ,
excess returns on market, SMB, HML显著相关
Model
❖Multivariate EGARCH
❖i=1:excess return on the market index ❖i=2 individual investor sentiment ❖i=3 institutional investor sentiment ❖i=1 i=2 i=3 i=4 i=5
Model
❖This paper models rational and irrational effects of
fundamentals and noise, respectively on sentiments of individual and institutional investors as under:
Conclusion 1
❖ 本文分析了fundamental and noise trading对于股票收益波动率
的影响
❖ 第一个模型与已有的研究相一致，结果表明无论是个体情绪还
是机构情绪，二者均对stock market returns有显著正的影响， 对stock volatility有显著负的影响
Conclusion 3
❖ 在第二个模型中，无论是个体还是机构，理性情绪比非理性情
绪对于Stock Returns的影响更为显著。
❖ 在波动性方面，投资者情绪中只有非理性部分才会对Stock
Volatility产生影响。同时这种影响是非对称的，看涨情绪 (irrational bullish sentiments)要比看跌情绪影响更显著
❖Previous research focuses on the mean of stock returns
while less attention is given to the impact of sentiment on the formation of conditional volatility.
Noise trading and stock market volatility
---Rahul Verma, Priti Verma ---published in Journal of MULTINATIOANL FINANCIAL MANAGEMENT
Introduction
❖Noise trader models in finance imply that subsets of
Data
❖Frequency: monthly ❖ Individual Investor sentiment index: AAII ❖ Institutional investor sentiment index: Investors Intelligence
investors often do not make investment decisions based on a company’s fundamentals and are capable of affecting stock prices by way of unpredictable changes in their sentiment.
❖ 同时还发现，这种波动性溢出是不对称的；There is greater
effect of bullish than bearish investor sentiments on stock market volatility
❖ 股票市场对个体情绪的影响是显著的，对机构情绪的影响是不
显著的，这表明，个体投资者更倾向于是正反馈交易者
❖ 最后我们发现，Stock Returns and volatility对于个体非理性情
绪有着显著的影响，且该影响为正。这充分表明，个体投资者 是正反馈交易者
Model
❖ The Vector Autoregressive model
❖ PS: Since the purpose of the paper is not to analyze how
market return and volatility are affected by its past innovations, but rather to investigate the spillover effects between sentiments and market volatility, we have specified the constraint i≠j.
Introduction
❖Three contributions to the extant literature:
❖Stock volatility ❖Rational and noise (irrational) components of
investor sentiment ❖Asymmetrical affect
Model
-Z
/ ，即标准残差项
j,t 1 j,t 1 j,t 1
- a 表示变量j到变量i的波动溢出，如显著的a 表示个体情绪的波动将会显著影响
ຫໍສະໝຸດ Baidu
i, j
1,2
收益率的波动
- positive innovation相对于 negative innovation对于 conditional volatility的不对称影响
可以通过 |1 | / | 1 | 这个比值进行衡量
j
j
-当 0时，上面的比值将更大，这意味着正的抖动（或新息）比负的抖动对于波 j
动率的影响要更大
- 显著为负的a 与显著为正的 的组合表示：变量j的正的抖动与负的抖动相比，其
i, j
j
对于变量i波动率的影响要更大。这说明相应的波动率溢出是不对称的。
❖ 同时还发现，个体情绪会受到机构情绪的影响，反之并不成立
Conclusion 2
❖ 不像以前的研究将投资者情绪看作完全非理性的，本文发现，
投资者情绪同时被理性成分和非理性成分所驱动
❖ 个体情绪与Business Conditions ,inflation, dividend yield ,
excess returns on market, SMB, HML显著相关
Model
❖Multivariate EGARCH
❖i=1:excess return on the market index ❖i=2 individual investor sentiment ❖i=3 institutional investor sentiment ❖i=1 i=2 i=3 i=4 i=5
Model
❖This paper models rational and irrational effects of
fundamentals and noise, respectively on sentiments of individual and institutional investors as under:
Conclusion 1
❖ 本文分析了fundamental and noise trading对于股票收益波动率
的影响
❖ 第一个模型与已有的研究相一致，结果表明无论是个体情绪还
是机构情绪，二者均对stock market returns有显著正的影响， 对stock volatility有显著负的影响