中国的波动性指数能否反映出投资者的情绪?
Wen Long1,2,3, Manyi Zhao1,2,3, Yeran Tang4
1School of Economics & Management, University of Chinese Academy of Sciences, Beijing 100190, PR China.
概括
中国的波动性指数 (iVX) 有效地反映了不同时间尺度的投资者情绪. 它的组成部分与宏观,中级和微观层面的情绪相关,确认 iVX 是一个全面的情绪指标.
科学领域:
- * 金融经济学 金融经济学
- * 计量经济学 计量经济学
- * 行为金融学
背景情况:
- * 投资者情绪显著影响金融市场.
- *中国的波动性指数 (iVX) 取自期权价格.
- *全面了解投资者情绪需要进行多层次分析.
研究的目的:
- * 评估中国官方波动性指数 (iVX) 代表投资者情绪的能力.
- * 开发一个三维投资者情绪测量系统 (宏观,中等,微观).
- *分析 iVX 组件与不同层次的情绪之间的关系.
主要方法:
- *经验模式分解 (EEMD) 将IVX分解为短期,中期和长期组件.
- * 构建一个三维投资者情绪测量系统.
- *混合频率的动态因子分析,以提取常见的情绪因素.
- * 自行回归分布式滞后 (ADL) 模型用于稳定性检查.
主要成果:
- * iVX的所有组成部分都反映了相应的宏观,中等和微观水平上的投资者情绪,准确度各不相同.
- * 通过混合频率动态因子分析提取的共同情绪因子显示了与 iVX 的强烈相关性.
- *经验结果证实了iVX组件在不同时间尺度上的独特反射能力.
结论:
- *中国波动性指数 (iVX) 作为整体投资者情绪和预期的可靠指标.
- * iVX的组件提供了对不同时间细分度的情绪动态的洞察.
- * 该研究证实了 iVX 的使用,以了解中国投资者的行为.
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