A Study of the Effect and Mechanism of Investor Sentiment to Stock Liquidity

尹海员,陕西师范大学商学院副教授,经济学博士。【中文摘要】投资者对未来股市行情的预期即情绪会影响其投资决策与行为,对市场流动性也产生影响。选取我国 A 股市场样本股票,从均值加权和市值加权两个角度构建市场流动性指标,分析投资者情绪与股票流动性间的影响关系和机理。实证结果表明:首先,在考虑市值规模差异后,投资者情绪对股票流动性存在显著的促进作用,而且情绪只能单向影响股票流动性,反向则不成立;其次,考虑市值规模的影响后,这种影响效应更突出,并且是通过推动市场交易量实现的,而价格作用并不显著;最后,卖空机制在投资者情绪对流动性的影响效应中起到反向抑制作用,卖空限制越大的股票,情绪对其流动性影响越小。 【Abstract】Focused on the A-share stock market in China, this paper constructs a market liquidity index from the perspective of mean weighting and market weighting. It analyzes the influence and mechanism of investor sentiment to stock liquidity. The empirical results show that: firstly, after considering the difference of market value, investor sentiment has a significant effect on stock liquidity, and that the sentiment can only affect the liquidity of the stock, while the reverse is not true. Secondly, after considering the effect of market value, the effect is more prominent, and the pathway is the promotion of market transactions, but the price effect is not significant. Finally, the short-selling mechanism has a reverse effect on the impact of investor sentiment to liquidity; the greater short-selling limits, the smaller effect of sentiment on liquidity.These conclusions provide a new evidence for the further analysis of the microstructure and operation in the stock market from the perspective of behavioral finance.教育部人文社科基金项目“股票流动性对投资者情绪波动的响应机制研究” (16YJA790061);陕西师范大学研究生培养创新基金项目(2015CXS003