传统金融学理论依赖理性人和有效市场假说，而传统金融学理论难以解释近年来我国股市发展过程中出现的与经济发展周期相背离的大幅暴涨暴跌现象。本文基于行为金融学的有限理性等相关理论，利用我国股票市场数据，实证检验了我国股市大幅涨跌的金融异象背后可能存在的投资者情绪对股票收益及波动的影响。同时从我国目前“经济新常态”的现状出发，以煤炭行业为代表，研究了“供给侧”改革作为正面的宏观政策调整信号对我国投资者的情绪偏差修正的影响，利用煤炭行业数据实证检验“供给侧”改革前后投资者情绪对股票定价预期和波动的差异。从而为“供给侧”改革对我国股市的影响提供理论支撑。本文使用主成分分析法构造了总体市场情绪和行业投资者情绪，同时将总体市场情绪指数和行业投资者情绪指数作为因子分别引入FAMA-FRENCH三因子，实证检验了市场和行业投资情绪对总体市场和行业股票收益的影响。此外，本文引入虚拟变量区分研究了乐观情绪和悲观情绪对股票收益的非对称影响。而对于投资者情绪对股票收益波动的影响，本文将情绪指数引入GARCH模型进行了实证检验，实证分析了市场处于上行、下行状态时，乐观情绪、悲观情绪对股票收益波动的影响。此外，本文以煤炭行业为代表，研究了“供给侧”改革前后煤炭行业投资者情绪对煤炭行业股票收益及波动的影响差异。实证检验结果表明，总体市场情绪对我国股票收益有着显著的正向影响，投资者情绪高涨会带来股票收益的上涨。乐观情绪和悲观情绪对股票收益影响存在非对称性，悲观情绪对股票收益的影响更大。此外，无论是市场处于上行还是下行，投资者悲观情绪对股票收益波动的影响要大于乐观情绪。乐观情绪会放大股票收益波动，而悲观情绪会减少股票收益波动。此外，乐观情绪的波动放大作用在市场上行时要明显强于市场下行时的放大作用。最后，以煤炭行业为代表，实证检验发现煤炭行业投资者情绪变动对行业股票收益的影响在“供给侧”改革前要大于改革后的影响。“供给侧”改革前，煤炭行业投资者情绪变动对股票收益有正向影响，而在改革后对收益的影响不显著。而行业投资者情绪变动在改革前的对股票收益波动有更大的正向影响。
Traditional finance theory relies on rational people and efficient market hypothesis,while it is difficult to explain the sharp rise and fall of capital market based on rational people and efficient market hypothesis. Based on the hypothesis of bounded rationality in behavioral finance, this paper empirically tested the impact of investor sentiment on investment returns and volatility to explain the sharp fall and rise of Chinese stock market. At the same time, this paper chose the coal industry as the representative industry to study the difference of investment sentiment impacts on stock price expectations and volatility before and after the supply-side reform. This test provided theoretical support for the impact of the supply-side reform on Chinese stock market.This paper used principal component analysis to construct the overall market investor sentiment and industry investor sentiment. At the same time, the market investor sentiment and the industry investor sentiment are included in the FAMA-FRENCH model to empirically test the impacts on returns and volatility caused by the investor sentiment. In addition, this paper adopted dummy variables to study the asymmetric influence of optimism and pessimism on stock returns. To study the influence of investor sentiment on stock return volatility, the investor sentiment index was included in the GARCH model. This paper analyzed the asymmetric impact of optimism and pessimism on stock return volatility when the market is in the up anddown direction. In addition, this paper used FAMA-FRENCH model and GARCH model to study the difference of investor sentiment impacts before and after the “supply side” reform on coal industry. The empirical test results showed that the overall market sentiment has a significant positive impact on China's stock returns.According to the test results, the optimal investor sentiment would lead to the rise of stock investment returns. The impacts of optimism and pessimism on stock returns were also proved asymmetry. The pessimistic sentiment has a greater impact on stock returns compared to optimalsentiment. In addition, whether the market is on the upside or downside, pessimistic investor sentiment has greater impacts on stock returns volatility than optimal investor sentiment. Optimism would amplify the impact on stock returns, while pessimistic sentiment would reduce the impact on stock returns. In addition, the volatility amplification of optimal sentiment during the bull market is significantly stronger than the bear market. Finally, the empirical test found that impact of coal industry sentimenton the stock returns and volatility before the “supply side” reform was greater than theimpact after the “supply side” reform. Before the “supply side” reform, the changes in investor sentiment in the coal industry had a positive impact on stock returns, while the impact on investment returns after reforms was not significant. The investor sentiment changes before the reform have a greater positive impact on stock returns than the impact after the reform.
