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Industry Characteristic ,Market Sentiment and Return Volatility
Author(s): 
Pages: 607-613
Year: Issue:  5
Journal: CHINESE JOURNAL OF MANAGEMENT

Keyword:  行为金融市场情绪收益波动噪声交易;
Abstract: 从行为金融研究的视角,利用源自"上证"(SHSE)A股市场的样本数据,检验了行业特征、市场情绪与收益波动之间的关系.结果表明:在不同的行业特征下,具有类似的投资者行为和风险收益关系,而且均未达到弱式有效;尽管各行业板块之间的收益波动联动效应显著,但市场情绪对不同行业特征的收益波动影响仍有差异性.对管理的启示是,中国证券市场效率还有待进一步提高,利用市场情绪套利时应考虑行业特征.
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