| 摘要: |
| 随着我国资本市场的逐步完善和成熟，市场参与者对于高效、科学的投资方法需求日益增长，为量化交易提供了广阔的发展空间。为了更好地了解量化交易对证券市场的影响，从量化交易对投资者情绪与市场波动影响的角度进行研究，以期为我国资本市场的稳健发展和投资者综合素质的提高提供理论指导。基于量化交易、投资者情绪及市场波动的理论逻辑，运用事件研究法、最优标度回归，分析2023年1月至9月量化交易相关数据。研究结果表明，量化交易对股票市场具有显著影响；量化交易存在一定程度的“砸盘”效应，投资者对该现象存在不理性行为；不同量化交易策略之间存在显著的效应差异；把事件个股按照可否进行融资融券区分，得出量化交易的影响也存在显著差异。据此，提出通过加大监管力度、增强量化公司风险管理能力和提高投资者综合素质的相关建议，稳定量化交易对证券市场的冲击，维护投资者利益。 |
| 关键词: 关键词：量化交易；投资者情绪；市场波动 |
| DOI： |
| 分类号:F830.9 |
| 基金项目:基金项目：国家社会科学基金一般项目“数字普惠视角下农业产业链融资的机制与路径研究”（21BGL162）；教育部人文社会科学研究规划基金项目“‘三权分置’下农村土地融资的制度协同与创新研究”（19YJA790129）。 |
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| Quantitative Trading,Investor Sentiment,and Market Volatility——An Emotional Analysis Based on Posts in the East Money Stock Forum |
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ZOU Xin-yang1，2，WANG Ji-fan1
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ZOU Xin-yang1，2，WANG Ji-fan1
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| Abstract: |
| With the gradual improvement and maturation of China’s capital market,there is a growing demand among market participants for efficient and scientific investment methods,providing a broad space for the development of quantitative trading.In order to better understand the impact of quantitative trading on the securities market,this paper studies the effects of quantitative trading on investor sentiment and market volatility,with the aim of providing theoretical guidance for the steady development of China’s capital market and the enhancement of investors’ overall quality.Based on the theoretical logic of quantitative trading,investor sentiment,and market volatility,this paper analyzes the relevant data of quantitative trading from January to September 2023 by using the event research method.The results of the study show that quantitative trading has a significant impact on the stock market.Quantitative trading has a certain degree of “smashing” effect,which in turn leads to investors’ irrational behavior.There exist significant differences between effects on different quantitative trading strategies.And significant differences in the impacts of quantitative trading are revealed according to whether the event stocks can be margined or not.Accordingly,this paper puts forward relevant suggestions for stabilizing the impact of quantitative trading on the securities market and safeguarding the interests of investors by strengthening supervision,enhancing the risk management capabilities of quantitative companies and improving the overall quality of investors. |
| Key words: Quantitative Trading；Investor Sentiment；Market Volatility |
