股市投資者情緒單項測度指標眾多、良莠不齊,Baker和Wurgler基于主成分分析構建綜合投資者情緒測度指數的方法雖被廣泛采用,但其所用指標在選用時具有主觀隨意性,故需對這些指標進行優選。可構建一套開放式的指標優選方法系統即倒金字塔濾網模型,首先對海選到的指標進行初選,剔除數據不可得不連續的指標,再通過相關性分析剔除無關項、通過聚類分析剔除高度相關項,然后通過主成分分析確定情緒測度維度和指標個數,最終用變異系數法優選出各維度內的最顯著指標。然后,用優選后的指標基于主成分分析構建綜合情緒測度指數。實證分析發現,不同時段應優選出不同的指標來測度投資者情緒,倒金字塔濾網模型適用于任何時段的指標優選,用優選后的指標構建的優化綜合投資者情緒指數OISI比用未經優選的指標構建的CICSI指數可更好地解釋中國股市投資者情緒。

There are many indicators to measure investor sentiment in stock market.The method of constructing comprehensive investor sentiment index based on principal component analysis by Baker and Wurgler(2006)is widely used,the indicators used by them are subjective and arbitrary,so it is necessary to optimize these indicators.An open indicator optimization method system called Inverted Pyramid Filter can be constructed.First of all,primary indicators need to be selected,and the indispensable indicators are eliminated.Then,the irrelevant items are eliminated by correlation analysis,and the highly correlated items are eliminated by clustering analysis.Furthmore,the dimension of investor sentiment measurement and the sum of indicators are determined by principal component analysis.Additionally the principal component analysis is used to determine the dimensions of investor sentiment measures and the number of indicators.Finally,the most significant indicators in each dimension is selected by using the coefficient of variation method.The empirical analysis shows that the optimization of sentiment measurement indicators is a dynamic process,and different indicators should be selected to measure investor sentiment in different periods.Inverted Pyramid Filter model is suitable for any period of indicator optimization.The optimized investor sentiment index OISI constructed with the optimized index is compared with the unoptimized index CICSI,the OISI can better explain investor sentiment.This paper provides a method reference for the indicators optimization before the construction of the investor sentiment composite index,and prepares the objective index for the construction of the index,so that the index based on the optimized indicators can also be optimized,so as to better explain the overall investor sentiment in the stock market.Moreover,other research and practice related to investor sentiment can be better done.