当代金融研究2024，Vol.7Issue(7)：53-69,17.DOI:10.20092/j.cnki.ddjryj.2024.07.005
量化交易、投资者情绪与市场波动
Quantitative Trading,Investor Sentiment,and Market Volatility
摘要
Abstract
With the gradual improvement and maturation of China's capital market,there is a growing demand among market participants for efficient and scientific in-vestment methods,providing a broad space for the development of quantitative trading.In order to better understand the impact of quantitative trading on the secu-rities market,this paper studies the effects of quantitative trading on investor senti-ment and market volatility,with the aim of providing theoretical guidance for the steady development of China's capital market and the enhancement of investors'o-verall quality.Based on the theoretical logic of quantitative trading,investor senti-ment,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 be-tween 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 sug-gestions 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 over-all quality of investors.关键词
量化交易/投资者情绪/市场波动Key words
Quantitative Trading/Investor Sentiment/Market Volatility分类
管理科学引用本文复制引用
邹新阳,王寄帆..量化交易、投资者情绪与市场波动[J].当代金融研究,2024,7(7):53-69,17.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) （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). （19YJA790129）
