投資者情緒與大盤報酬率的關係，以中國大陸市場為例

投資者情緒對於資本市場尤其是股票市場具有重要影響。對於大陸股票市場來講，由於其個體投資者眾多的關鍵特徵，投資者情緒對股票價格的影響也是尤為突出。據此，本研究以大陸股票市場作為研究對象，選取2010至2020年作為樣本期間，構造了大盤層面和公司層面共兩類投資者情緒的指標，採用VAR模型、三因子模型和五因子模型，考察投資者情緒對於陸股市場的影響。研究發現，市場投資者情緒高漲能夠推動市場大盤的上漲，大盤上漲反過來也會帶動投資者情緒更加高漲，兩者之間存在正向回饋效應。市場投資者情緒和大盤之間的關係呈現非對稱性，投資者情緒對大盤收益的影響具有時滯性，先短暫負向影響然後持續正向影響，而大盤對投資者情緒會直接產生強烈的正向影響，效果會隨時間逐漸遞減。此外，個股投資者情緒也會推動公司個股收益率的上升。因此，無論是市場層面還是公司層面，實證結果都表明投資者情緒高漲能夠推動股票價格的上漲，提升股票的收益率。

關鍵字

投資者情緒；大盤收益率；公司股票價格

並列摘要

Investor sentiment plays an important role in capital market, especially stock market. For the mainland stock market, investor sentiment has a particularly prominent impact on stock prices due to the key characteristics of a large number of individual investors. Therefore, this study takes the mainland stock market as the research object, chooses the period from 2010 to 2020 as the sample period, constructs two types of investor sentiment indicators at the market level and the company level, and adopts VAR model, three-factor model and five-factor model to investigate the impact of investor sentiment on the mainland stock market. The research finds that high investor sentiment can promote the rise of the market, and the rise of the market will in turn lead to higher investor sentiment, and there is a positive feedback effect between the two. The relationship between investor sentiment and the market is asymmetrical. The impact of investor sentiment on the return of the market has a time lag, with a temporary negative impact and then a continuous positive impact, while the market has a direct and strong positive impact on investor sentiment, and the effect will gradually decrease over time. In addition, the investor sentiment of individual stocks will also promote the rise of corporate stock yields. Therefore, whether it is the market level or the company level, the empirical results show that the high investor sentiment can promote the rise of stock prices and improve the return rate of stocks