The Journal of Portfolio Management, Summer 2017, Vol. 43, No. 4: pp. 125-136

传染性投资者情绪与国际市场

作者：Todd Feldman (San Francisco State University College of Business in San Francisco), Shuming Liu (San Francisco State University College of Business in San Francisco)

摘要：作者为六个发达市场构造了一个新的投资者情绪指标，以此来研究情绪的相关性如何影响未来市场收益的相关性。统计分析得出三个结论。第一，当市场都处于下行时期时，投资者情绪的相关性更强。第二，情绪的相关度可以显著预测未来一年股市回报率的相关性。第三，情绪相关性对美国市场和其他市场未来收益相关性的预测能力在熊市期间比在牛市期间更强。作者的发现部分解释了为什么金融危机期间不同市场之间的回报相关性增加。

Contagious Investor Sentiment and International Markets

Todd Feldman (San Francisco State University College of Business in San Francisco), Shuming Liu (San Francisco State University College of Business in San Francisco)

ABSTRACT

The authors use a new index of investor sentiment for six developed stock markets to determine how the correlations of sentiment impact future market return correlations. Statistical analysis reveals three findings. First, sentiment is more correlated during periods when both market returns are declining. Second, the correlations of sentiment can significantly forecast future one-year stock market return correlations. Third, the correlations of sentiment have stronger predictive power for future return correlations during bear periods than they do during bull periods for the United States and other market pairs. The authors’ findings provide a partial explanation of why return correlations between different markets increase during financial crises.

原文链接：

http://www.iijournals.com/doi/abs/10.3905/jpm.2017.43.4.125

翻译：唐国梅