情绪传染、个股波动与股价同步性——来自基金重仓股的经验证据

doi:10.12068/j.issn.1005-3026.2021.05.021

东北大学学报（自然科学版） ›› 2021, Vol. 42 ›› Issue (5): 748-754.DOI: 10.12068/j.issn.1005-3026.2021.05.021

情绪传染、个股波动与股价同步性——来自基金重仓股的经验证据

侯卉¹，娜仁满都拉²，刘剑³，王健¹

(1. 东北大学工商管理学院，辽宁沈阳110819; 2. 中国人民银行呼伦贝尔市中心支行，内蒙古呼伦贝尔021008; 3. 中国建设银行股份有限公司铁岭分行，辽宁铁岭112000)

修回日期:2020-06-19 接受日期:2020-06-19 发布日期:2021-05-20
通讯作者: 侯卉
作者简介:侯卉(1970-)，女，辽宁沈阳人，东北大学教授；王健(1980-)，女，河北唐山人，东北大学教授，博士生导师.
基金资助:
基金项目；(半空) 基金项目.国家自然科学基金资助项目(71571038，71971048)；辽宁省“兴辽英才”青年拔尖人才计划项目(XLYC1907015).

Emotional Contagion， Stock Volatility and Stock Price Synchronization: Empirical Evidence from the Fund′s Heavy Warehouse Stocks

HOU Hui¹， NARINMandura²， LIU Jian³， WANG Jian¹

1. School of Business Administration， Northeastern University， Shenyang 110819， China; 2. The People’s Bank of China Hulun Buir Downtown Branch， Hulun Buir 021008， China; 3. Tieling Branch of China Construction Bank， Tieling 112000， China.

Revised:2020-06-19 Accepted:2020-06-19 Published:2021-05-20
Contact: NARIN Mandura
About author:-
Supported by:
-

摘要/Abstract

摘要： 基于基金重仓股背后的委托代理投资关系，采用开放式基金流量数据建立情绪传染指标，分别从个股层面和市场层面，考察基金投资过程中的情绪传染对重仓股个股波动和股价同步性产生的影响.研究发现，情绪传染对重仓股个股波动存在显著影响，无论乐观还是悲观情绪传染，均对重仓股波动具有推动促进作用;进一步研究发现，基金投资中的情绪传染同样会使重仓股的股价同步性显著增强.从基金投资中不同主体间存在情绪传染的崭新视角解释市场异象，有助于补充行为资产定价理论研究，所得结论可为投资者、基金公司及市场监管部门提供一定参考.

关键词: 情绪传染;个股波动;股价同步性;基金重仓股;行为资产定价理论

Abstract: Based on the principal-agent investment relationship behind fund’s heavy warehouse stocks， which uses emotional contagion indexes established on the open-ended fund flow data， the effect of emotional contagion on stock volatility and stock price synchronization is investigated at the stock level and market level in fund investment. Research finds that emotional contagion has a significant promoting effect on the volatility of heavy warehouse stocks regardless of optimism contagion or pessimism contagion. Further study shows that it has a remarkable reinforcing effect on stock synchronization. The findings explain market anomalies from a new perspective of emotional contagion among different entities in fund investment， which serves as a supplement to the behavior asset pricing theory studies. The conclusions can provide reference for investors， fund companies and market regulators.

Key words: emotional contagion; stock volatility; stock price synchronization; heavy warehouse stocks; behavior asset pricing theory

中图分类号:

F830.91

侯卉，娜仁满都拉，刘剑，王健. 情绪传染、个股波动与股价同步性——来自基金重仓股的经验证据[J]. 东北大学学报（自然科学版）, 2021, 42(5): 748-754.

HOU Hui， NARINMandura， LIU Jian， WANG Jian. Emotional Contagion， Stock Volatility and Stock Price Synchronization: Empirical Evidence from the Fund′s Heavy Warehouse Stocks[J]. Journal of Northeastern University(Natural Science), 2021, 42(5): 748-754.

参考文献

[1]陈炜，袁子甲.低分散化是信息优势还是心理偏差因素——基于信息配置的理论解释与实证分析［J］.管理科学学报，2015，1810:69-79.(Chen Wei，Yuan Zi-jia.Whether low decentralization is information superiority or psychological bias factor:theoretical explanation and empirical analysis based on information allocation［J］.Journal of Management Sciences in China，2015，1810:69-79.)
[2]饶育蕾，彭叠峰，王建新.金融危机下行为金融学研究的历史使命:一个综述［J］.管理评论，2012，24(1):3-10.(Rao Yu-lei，Peng Die-feng，Wang Jian-xin.The historical mission of behavioral finance research under financial crisis:an overview［J］.Management Review，2012，24(1):3-10.)
[3]Deng X，Hung S M，Qiao Z.Mutual fund herding and stock price crashes［J］.Journal of Banking and Finance，2018，94(7):166-184.
[4]黄德龙，文凤华，杨晓光.投资者情绪指数及中国股市的实证［J］.系统科学与数学，2009，29(1):1-13.(Huang De-long，Wen Feng-hua，Yang Xiao-guang.Investor sentiment index and empirical study of Chinese stock market［J］.Journal of Systems Science and Mathematical Science，2009，29(1):1-13.)
[5]Ben-Rephael A，Kandel S，Wohl A.The price pressure of aggregate mutual fund flows［J］.Journal of Financial and Quantitative Analysis，2011，46(2):585-603.
[6]Massa M，Yadav V.Investor sentiment and mutual fund strategies［J］.Journal of Financial and Quantitative Analysis，2015，50(4):699-727.
[7]俞红海，陆蓉，徐龙炳.投资者名义价格幻觉与管理者迎合——基于基金拆分现象的研究［J］.经济研究，2014，49(5):133-146.(Yu Hong-hai，Lu Rong，Xu Long-bing.Investors′ illusion of nominal price and managers′ pan-dering:based on the research of fund splitting phenomenon［J］.Economic Research Journal，2014，49(5):133-146.)
[8]辛清泉，孔东民，郝颖.公司透明度与股价波动性［J］.金融研究，2014(10):193-206.(Xin Qing-quan，Kong Dong-min，Hao Ying.Corporate transparency and stock price volatility［J］.Journal of Financial Research，2014(10):193-206.)
[9]Han B.Investor sentiment and option prices［J］. Review of Financial Studies，2008，21:387-414.
[10]Thomas R.Intraday online investor sentiment and return patterns in the US stock market［J］.Journal of Banking & Finance，2017，84:25-40.
[11]刘维奇，刘新新.个人和机构投资者情绪与股票收益——基于上证A股市场的研究［J］.管理科学学报，2014，17(3):70-87.(Liu Wei-qi，Liu Xin-xin.Individual and institutional investor sentiment and stock returns:a study based on the Shanghai A-share market［J］.Journal of Management Science in China，2014，17(3):70-87.)
[12]Kaplanski G，Levy H，Veld C H，et al.Do happy people make optimistic investors?［J］.Journal of Financial & Quantitative Analysis，2015，50(1/2):145-168.
[13]王春.投资者情绪对股票市场收益和波动的影响——基于开放式股票型基金资金净流入的实证研究［J］.中国管理科学，2014，22(9):49-56.(Wang Chun.The impact of investor sentiment on stock market returns and volatility:an empirical study based on the net inflow of funds into open-end stock funds［J］.Chinese Journal of Management Science，2014，22(9):49-56.)
[14]Fisch J E，Tess W.Why do retail investors make costly mistakes? an experiment on mutual fund choice［J］.Pennsylvania Law Review，2014，162(3):605-647.
[15]Morck R，Yeung B Y，Yu W，et al.The information content of stock markets:why do emerging markets have synchronous stock price movements?［J］.Journal of Financial Economics，2000(58):215-260.
[16]林忠国，韩立岩，李伟.股价波动非同步性——信息还是噪音?［J］.管理科学学报，2012，15(6):68-81.(Lin Zhong-guo，Han Li-yan，Li Wei.Non-synchronicity of stock price movements:information or noise?［J］.Journal of Management Science in China，2012，15(6):68-81.)
[17]Shiller R.Do stock prices move too much to be justified by subsequent changes in dividends ［J］.The American Economic Review，1981，71(3):421-436.
[18]Kumar A，Page J，Spalt O.Trading-based return comovements:evidence from stock splits and headquarters changes［J］.Rview of Finance，2012，17(3):921-953.
[19]许年行，洪涛，吴世农，等.信息传递模式、投资者心理偏差与股价“同涨同跌”现象［J］.经济研究，2011，46(4):135-146.(Xu Nian-xing，Hong Tao，Wu Shi-nong，et al.Information transmission mode，psychological deviation of investors and the phenomenon of "same rise and same fall" in stock prices［J］.Economic Research Journal，2011，46(4):135-146.)
[20]Frazzini A，Lamont O A.Dumb money:mutual fund flows and the cross-section of stock returns［J］.Journal of Financial Economics，2008，88(2):299-322.
[21]Ang A，Hodrick R J，Xing Y，et al.High idiosyncratic volatility and low returns:International and further US evidence［J］.Journal of Financial Economics，2009，91(1):1-23.
[22]Durnev A，Morck R，Yeung B，et al.Does greater firm-specific return variation mean more or less informed stock pricing?［J］.Journal of Accounting Research，2003，41(5):797-836.
[23]余秋玲，朱宏泉.宏观经济信息与股价联动——基于中国市场的实证分析［J］.管理科学学报，2014，17(3):15-26.(Yu Qiu-ling，Zhu Hong-quan.Macroeconomic information and stock price linkage:an empirical analysis based on the Chinese market［J］.Journal of Management Science in China，2014，17(3):15-26.)
[24]文凤华，肖金利，黄创霞，等.投资者情绪特征对股票价格行为的影响研究［J］.管理科学学报，2014，17(3):60-69.(Wen Feng-hua，Xiao Jin-li，Huang Chuang-xia，et al.Research on the influence of investor sentiment characteristics on stock price behavior［J］.Journal of Management Science in China，2014，17(3):60-69.)
[25]Cooper M J，Gutierrez R C，Hameed A.Market states and momentum［J］.Journal of Finance，2004，59(3):1345-1365.

情绪传染、个股波动与股价同步性——来自基金重仓股的经验证据

Emotional Contagion， Stock Volatility and Stock Price Synchronization: Empirical Evidence from the Fund′s Heavy Warehouse Stocks

RichHTML

PDF (PC)

可视化

摘要/Abstract

引用本文

使用本文

参考文献

相关文章 10

编辑推荐

Metrics

本文评价

[1]	田树喜，胡靖雪，孙荧，王健. 股指期货对股票市场正反馈交易的影响——基于中国A股市场的计量检验[J]. 东北大学学报:自然科学版, 2020, 41(12): 1794-1799.
[2]	张同辉，苑莹，庄新田. 考虑跳跃和杠杆效应的股市多分形波动率建模[J]. 东北大学学报:自然科学版, 2020, 41(4): 594-598.
[3]	姜尚伟，金秀. 空间交互视角下投资者情绪对股价的影响[J]. 东北大学学报:自然科学版, 2020, 41(1): 143-147.
[4]	黄玮强，李方，姚爽. 中国金融机构波动溢出动态关联网络研究[J]. 东北大学学报:自然科学版, 2019, 40(4): 596-601.
[5]	曹德芳，刘柏池. SVM财务欺诈识别模型[J]. 东北大学学报:自然科学版, 2019, 40(2): 295-300.
[6]	张伟平，庄新田，李延双. 股指极端波动下中国股票市场网络拓扑结构[J]. 东北大学学报:自然科学版, 2018, 39(10): 1511-1515.
[7]	石军，庄新田，马春兰，李晓青. 先票后货融资模式下零售商企业的订货决策[J]. 东北大学学报:自然科学版, 2018, 39(2): 283-287.
[8]	唐凯，庄新田，卢盼盼，李晓青. 基于联立方程的地价与房价波动关系[J]. 东北大学学报:自然科学版, 2017, 38(4): 598-603.
[9]	金秀，姜超，孟婷婷，庄霄威. 我国股票市场拓扑性及加权网络中行业主导性分析[J]. 东北大学学报:自然科学版, 2015, 36(10): 1516-1520.
[10]	孙宸，庄新田. 董事网络位置对高管薪酬水平影响的实证研究[J]. 东北大学学报（自然科学版）, 2021, 42(7): 1049-1056.