跳跃波动和特定公司的投资者情绪

IF 9.4 3区 管理学 Q1 BUSINESS, FINANCE Journal of International Financial Management & Accounting Pub Date : 2024-05-10 DOI:10.1111/jifm.12209
Chen Wang, Xiong Xiong, Xiao Li
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引用次数: 0

摘要

有关投资者情绪的文献主要是在市场层面进行的。最近,采用公司层面情绪的研究越来越多地转向文本分析;然而,这种代理变量的适用性仍未得到验证。我们利用 2015 年至 2023 年的中国股市数据,旨在分析已实现波动率的跳跃成分是否具有投资者情绪的特征。我们的分析表明,跳跃波动具有明显的短期持续性,尤其是在难以估值的股票和机构持股比例极低的股票中。此外,我们还发现,月度跳跃波动率高的股票在较长时期内始终表现不佳,这证实了情绪引发的临时错误定价现象的假设。值得注意的是,我们的研究结果主张采用已实现波动率的跳跃成分来代表特定公司的投资者情绪,为情绪分析文献提供了一个新的视角。
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Jump volatility and firm-specific investor sentiment

Literature on investor sentiment has predominantly been conducted at the market level. Recent studies employing firm-level sentiment have increasingly turned to textual analysis; however, the suitability of this type of proxy is still unverified. We utilize the Chinese stock market data from 2015 to 2023, aiming to discern whether the jump component of realized volatility possesses characteristics of investor sentiment. Our analysis reveals a pronounced short-term persistence in jump volatility, particularly, among stocks that are hard to value and those with minimal institutional ownership. Further, we find that stocks exhibiting high monthly jump volatility consistently exhibit underperformance over extended periods, corroborating the hypothesis of sentiment-induced temporary mispricing phenomena. Significantly, our findings advocate for the adoption of the jump component of realized volatility as a proxy for firm-specific investor sentiment, offering a novel perspective in the sentiment analysis literature.

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来源期刊
CiteScore
9.10
自引率
2.00%
发文量
23
期刊介绍: The Journal of International Financial Management & Accounting publishes original research dealing with international aspects of financial management and reporting, banking and financial services, auditing and taxation. Providing a forum for the interaction of ideas from both academics and practitioners, the JIFMA keeps you up-to-date with new developments and emerging trends.
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