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个体投资者情绪具有异质性。本文利用2010年1月7日至2013年8月30日东方财富网股吧发帖文本,通过情绪关键词统计测度投资者总体情绪强度、投资者总体情绪倾向和投资者情绪异质性程度。构建异质性情绪影响股市羊群效应的GARCH模型,实证结果如下:(1)投资者情绪强度影响股市羊群效应,情绪越强烈,股市羊群效应越大;(2)相对于悲观情绪倾向,乐观情绪倾向导致的股市羊群效应相应更弱;(3)投资者个体间情绪的异质性将减弱股市羊群效应。结果表明,投资者情绪对股市羊群效应具有多重影响,特别是投资者间情绪异质性对股市羊群效应具有抑制作用,这对改善市场效率具有积极意义。
Individual investor sentiment is heterogeneous. This article uses the text posted from January 7, 2010 to August 30, 2013 to measure the overall sentiment of investors, the overall sentiment of investors and the level of investor sentiment heterogeneity. The empirical results are as follows: (1) The investor sentiment intensity affects the stock market herding effect, the stronger the emotion, the larger the stock market herding effect; (2) Compared with the tendency of pessimistic sentiment , And the stock market herding effect caused by optimistic sentiment is correspondingly weaker. (3) The heterogeneity of sentiment among investors will weaken the stock market herding effect. The results show that the investor sentiment has a multiple impact on the stock market herding effect, especially the sentiment heterogeneity among investors has an inhibitory effect on the stock market herding effect, which is of positive significance to improve the market efficiency.