摘要
中国创业板市场于 2009年 10月正式上市，发展至今已有十余年历史。在这
十余年中，创业板市场作为主板市场的补充，承担着为中小企业以及新兴企业提
供融资平台的作用，同时，创业板也作为我国证券市场新政策的试点市场，承担
了探索发展的责任。从创业板的开启以来，以一种迅速发展的姿态前进，然而，
创业板上市公司多数为中小企业、高科技企业、新兴产业，这些企业具有高成长
性、高风险性的特点，导致创业板上市公司股价高市盈率，未来预期不确定，使
创业板股价波动明显且频繁。因此研究投资者情绪对于创业板市场的影响，在学
界和业界都有着同样重要的意义，为完善我国行为金融学研究，改善监管部门监
管政策都有着不可忽视的作用。
主成分分析法是将许多相关性较高的变量提取共同公因子，达到保留变量信
息并简化变量相关关系的作用；主成分分析法在构建投资者情绪综合指标时有着
广泛的应用。本文第一章基于前人研究，分析了研究背景，研究意义，研究方法，
提出了本文的创新点与不足点。第二章介绍了投资者情绪定义，投资者情绪构建
方法分类以及相关的现代金融学理论和行为金融学理论，作为本文研究的理论基
础。第三章参考国内外学者的做法，运用主成分分析法，选取市盈率、托宾 Q、
融资融券余额、新增开户数、新增 IPO数，消费者信心指数 CCI构建得到综合
的投资者情绪指标。第四章采用固定效应多元回归模型，对投资者情绪与股票收
益率做相关性分析，结果显示，投资者情绪对股票收益率有着显著正向相关关系。
第五章进一步将创业板上市公司按照经济发达地区和经济欠发达地区，国有企业
和非国有企业，大公司与中小公司分组研究分析。第六章总结了本文的研究结论
并提出了对应政策建议。
通过研究发现，我国创业板市场，投资者情绪对股票收益率呈正向的相关关
系，投资者情绪的高涨会引起股票收益率的上升。经济发达地区与经济欠发达地
区的投资者情绪影响效果存在差异，经济发达地区的公司股价受投资者情绪影响
效应小于经济欠发达地区；国有企业相较于非国有企业，投资者情绪对股票收益
率的影响不显著，非国有企业公司股价更易受到来自投资者情绪的影响；大公司
与中小公司而言，大公司投资者情绪影响效果强于中小公司。因此，投资者因注
意理性看待情绪因素，回归股票的价值投资，监管部门应加强市场监管，完善市
场机制，形成良好的投资环境。
关键词：创业板；固定效应回归模型；主成分分析法；投资者情绪
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Abstract
China's growth enterprise market was officially listed in October 2009, and it has
a history of more than ten years. In the past ten years, the growth enterprise market, as
a supplement to the main board market, has assumed the role of providing financing
platform for small and medium-sized enterprises and emerging enterprises. At the
same time, the growth enterprise market, as a pilot market for new policies of China's
securities market, has undertaken the responsibility of exploration and development.
Since the opening of the gem, it has been developing rapidly. However, most of the
listed companies on the gem are small and medium-sized enterprises, high-tech
enterprises and emerging industries. These enterprises have the characteristics of high
growth and high risk, which lead to the high price earnings ratio of the listed
companies on the gem and the uncertainty of future expectations, which makes the
gem stock price fluctuate significantly and frequently. Therefore, the study of the
impact of investor sentiment on the growth enterprise market has the same important
significance in the academic and industry. In order to improve China's behavioral
finance research and improve the regulatory policies of the regulatory authorities, it
plays an important role.
Principal component analysis is to extract common factors from many variables
with high correlation, so as to retain the information of variables and simplify the
correlation of variables; principal component analysis is widely used in the
construction of comprehensive indicators of investor sentiment. The first chapter of
this paper, based on previous studies, analyzes the research background, research
significance, research methods, and puts forward the innovation and shortcomings of
this paper. The second chapter introduces the definition of investor sentiment, the
classification of investor sentiment construction methods and the related modern
finance theory and behavioral finance theory, as the theoretical basis of this paper. In
the third chapter, referring to the practice of domestic and foreign scholars, using the
principal component analysis method, we select P / E ratio, Tobin Q, margin balance,
new account number, new IPO number, consumer confidence index CCI to build a
comprehensive investor sentiment index. In the fourth chapter, the fixed effect
multiple regression model is used to analyze the correlation between investor
sentiment and stock return. The results show that investor sentiment has a significant
positive correlation with stock return. The fifth chapter further studies and analyzes
the GEM listed companies according to the developed and underdeveloped areas,
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state-owned enterprises and non-state-owned enterprises, large companies and small
and medium-sized companies. The sixth chapter summarizes the research conclusions
and puts forward the corresponding policy suggestions.
Through the research, we find that investor sentiment has a positive correlation
with stock returns in gem, and the rising of investor sentiment will lead to the rise of
stock returns. There are differences in the effect of investor sentiment between
developed and underdeveloped areas. The effect of investor sentiment on stock prices
in developed areas is less than that in underdeveloped areas. Compared with
non-state-owned enterprises, the effect of investor sentiment on stock returns is not
significant in state-owned enterprises, and the stock prices of non-state-owned
enterprises are more vulnerable to the impact of investor sentiment Compared with
small and medium-sized companies, the effect of investor sentiment in large
companies is stronger than that in small and medium-sized companies. Therefore,
investors should pay attention to rational view of emotional factors, return to the value
of stock investment, regulatory authorities should strengthen market supervision,
improve the market mechanism, and form a good investment environment.
Keywords: Growth Enterprise Market; fixed effects regression model; PCA；Investor
sentiment
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