本文以中证500指数为研究对象,对投资者情绪对股票波动性的影响展开实证研究。通过选取和构建合适的投资者情绪指标,结合中证500指数的价格波动数据,运用VAR模型、Granger因果检验、脉冲响应函数和方差分解模型等方法进行了深入分析。研究结果表明,投资者情绪与中证500指数的收盘价存在长期稳定的关系,且股价是投资者情绪的格兰杰原因,投资者情绪对股票价格的影响存在短期滞后性,但从长远来看是存在的。基于此,本文提出了增强投资者情绪监测和预警机制、提高信息透明度与完备风险教育监管、推动市场长期稳定性的制度构建等政策建议。This paper takes the CSI 500 Index as the research object and conducts an empirical study on the impact of investor sentiment on stock volatility. By selecting and constructing appropriate investor sentiment indicators, combined with the price fluctuation data of the CSI 500 Index, this paper uses VAR model, Granger causality test, impulse response function and variance decomposition model to conduct an in-depth analysis. The results show that there is a long-term and stable relationship between investor sentiment and the closing price of the CSI 500 Index, and the stock price is the Granger cause of investor sentiment. The impact of investor sentiment on stock prices has a short-term lag, but it exists in the long run. Based on this, this paper puts forward policy recommendations such as enhancing the monitoring and early warning mechanism of investor sentiment, improving information transparency and complete risk education supervision, and promoting the institutional construction of market long-term stability.
