摘要
我国股票市场个股与股票市场暴涨暴跌并不鲜见，且随着全球化的加深，股
票波动性的影响因素也相应增多，如何稳定股票波动性是我们亟需解决的关键问
题。投资者作为股票市场交易的微观主体，其投资行为是股票波动新的源头所在。
我国个人投资者占比高、专业知识不足和注重短期利益的特点，导致市场总体非
理性交易行为突出、情绪极易传染蔓延，加重了市场波动风险。更严重的是，随
着信息化的发展，投资者对投资信息的获取渠道增加，情绪表达途径也相应增多，
相比于以前，其投资情绪更容易被市场虚假信息的影响与传染，大大提高了系统
性风险发生的可能性。因此厘清投资者情绪对股票波动的影响机制，阐明投资者
情绪对股票波动的作用机理，对我国资本市场风险防范，稳定发展至关重要。
本文运用行为金融理论研究方法，结合我国市场投资主体的情绪交易行为实
际，创新性地构建乐观情绪交易者与悲观情绪交易者数理模型，探讨投资者乐、
悲观情绪对股票波动的影响，并选取 2017年至 2019年沪深 A股交易数据进一
步通过实证分析。通过研究得到以下结论：（1）市场投资者主体乐观情绪与股票
波动呈正相关关系，即乐观情绪的上涨会助推股票波动。乐观情绪对股票波动的
影响效应呈 U型变化，即存在先降低后增长的趋势；（2）市场投资者主体悲观
情绪与股票波动呈正相关关系，即悲观情绪的上涨同样会助推股票波动。悲观情
绪对股票波动的影响效应也呈 U型变化，即存在先降低后增长的趋势；（3）市
场情绪异化与股票波动呈正相关关系，即当总体情绪异化程度加大时，股票波动
也会加重。情绪异化对股价波动的影响效应也呈 U型变化，即存在先降低后增
长的趋势；（4）乐观情绪（悲观情绪）能够调节悲观情绪（乐观情绪）对股票波
动的影响效应，即随着乐观情绪（悲观情绪）的上升，悲观情绪（乐观情绪）对
股票波动的影响效应呈先增后减的倒 U型变化趋势。
进一步，本文通过异质性分析还发现：（1）相比与非国有企业，乐观情绪和
总体情绪异化程度对股票波动影响效应更高，悲观情绪对股票波动影响效应更低；
（2）相比于高规模企业，低规模企业下，投资者悲观情绪对股票波动的影响效
应更低。而乐观情绪与总体情绪异化程度影响效应并无明显差异；（3）相比于宏
观经济更为景气的时间，在景气程度低的时间区间下，乐观情绪与情绪异化程度
对股票波动的影响效应更高，悲观情绪对股票波动的影响效应更低。
本文研究结论解释了市场交易者乐、悲观情绪与情绪异化程度对股票波动的
影响与变化趋势，以及乐、悲观情绪之间的交互影响机制。研究结论不仅进一步
拓展了投资者情绪对股票波动性的相关研究，也印证了加强对媒体信息披露真实
性监督的必要性，并为资本市场波动研究提供了新思路。
关键字：乐观情绪；悲观情绪；情绪异化；股票波动
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ABSTRACT
It is not uncommon for individual stocks and stock markets in my country to rise
and fall sharply. With the deepening of globalization, the factors affecting stock
volatility have increased accordingly. How to stabilize stock volatility is a key issue
that we urgently need to solve. Investors, as the micro-subjects of stock market
transactions, their investment behavior is the new source of stock volatility. The high
proportion of individual investors in our country, lack of professional knowledge and
focus on short-term interests have led to outstanding irrational trading behavior in the
market as a whole, and emotions are easily contagious and spread, which aggravates
the risk of market volatility. What’s more serious is that with the development of
informatization, investors’ access to investment information has increased, and the
channels for expressing their emotions have also increased accordingly. Compared
with the past, their investment sentiments are more likely to be affected and
contagious by false market information, which is greatly improved. The possibility of
systemic risks occurring. Therefore, to clarify the influence mechanism of investor
sentiment on stock volatility and clarify the mechanism of investor sentiment on stock
volatility is essential for the prevention of risks and stable development of my
country's capital market.
Based on the thinking of behavioral finance, this article fits the reality of market
sentiment trading behavior in our country. Based on previous research, innovatively
constructing mathematical models of optimistic traders and pessimistic traders,
discussing the effects of different levels of happiness and pessimism on stocks The
impact of volatility, and further through empirical analysis to demonstrate the
conclusions of the mathematical model. And get the following conclusions: (1) The
main body of market investor optimism is positively correlated with stock volatility,
that is, rising optimism will boost stock volatility. The effect of optimism on stock
volatility shows a U-shaped change, that is, there is a trend of first decrease and then
increase; (2) The pessimism of market investors is positively correlated with stock
volatility, that is, the rise of pessimism will also boost stock volatility. The effect of
pessimism on stock volatility also shows a U-shaped change, that is, there is a trend of
first decrease and then increase; (3) The dissimilation of market sentiment is
positively correlated with stock volatility, that is, when the degree of overall sentiment
dissimilation increases, stock volatility will also Aggravate. The effect of emotional
alienation on stock price volatility also shows a U-shaped change, that is, there is a
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trend of first decrease and then increase; (4) Optimism (pessimism) can regulate the
effect of pessimism (optimism) on stock volatility, that is, as The rise of optimism
(pessimism), and the effect of pessimism (optimism) on stock volatility presents an
inverted U-shaped change trend that first increases and then decreases.
Furthermore, through the analysis of heterogeneity, this article also found that: (1)
Compared with non-state-owned enterprises, the degree of optimism and overall
sentiment alienation has a higher effect on stock volatility, and pessimism has a lower
effect on stock volatility; (2) Relatively Compared with high-scale companies, under
low-scale companies, investor pessimism has a lower effect on stock volatility. There
is no significant difference in the effect of optimism and the degree of overall
emotional alienation; (3) Compared with the more prosperous time of the macro
economy, the effect of optimism and the degree of emotional alienation on stock
volatility in a time interval of low prosperity Higher, the effect of pessimism on stock
volatility is lower.
The research conclusions of this article provide a good explanation of the effect of
market traders’ optimism, pessimism, and the degree of overall emotional alienation
on stock price volatility and change trends, as well as the interaction mechanism
between happiness and pessimism. It is a follow-up based on the perspective of
happiness and pessimism. The study of stock price volatility has broadened the
horizon, confirmed the need to strengthen the supervision of the authenticity of
information such as the media and other information intermediaries, and provided
new ideas for market regulation.
Keywords: Optimism; Pessimism; Emotional alienation; Stock price fluctuations
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