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·IPOIPO。。。、。121.1001402.100071。F830.91[]A[]1007－9556201003－0055－07ResearchonInvestorSentimentIndicatorsConstrution———ANewViewpointforStudyingIPOInitialReturnLVPeng-bo1LUOQing-ju21.EditorialDept.TheInsuranceInstituteofChinaBeijing1001402.SchoolofFinanceCapitalUniverstyofEconomicsandBusinssBeijing100071ChinaAbstract:DrawingonpreviousdomesticandforeignscholarsmeasuringinvestorsentimentthestudyselectssuitablecharacteristicsofthefourcategoriesofChinesestockmarketinvestorsentimentindicatorsextractsmajorfactorofinvestorsentimentthroughprincipalcomponentanalysis.Thestudyinitiallyprovesthatliquidityclosed-endfunddiscountandlotwinningrateisInverselyproportionaltotheinvestersentimentandturnoverrateisindirectproportiontotheinvestersentiment.KeyWords:investorsentimentsentimentindicatorsprincipalcomponentanalysis———IPO20103323Mar.2010Vol.32No.3JoumalofShanxiFinanceandEconomicsUniversity2010－01－251980－1977－。55··NMinMaxMeanStd.SkewnessKurtosisStatisticStatisticStatisticStatisticStatisticStatisticStd.ErrorStatisticStd.ErrorBS1215.1300.9300.521243.1515321-.141.070-.766.140IS1214.05001.0000.611878.2041864-.128.070-.638.140SHL1868.00007.1400.958260.9107742.305.0577.706.113SZL1868.00009.36001.119141.130302.391.0578.669.113SHL1868.00007.1400.958260.9107742.305.0577.706.113SZL1868.00009.36001.119141.130302.391.0578.669.113D1860.031848.112325.043713.220619-.021.057-1.131.113SHTOR1868.010015.08002.620612.283882.106.0575.384.113SZTOR1868.220042.46003.442614.730543.471.05715.040.113SHIPOTOR32313.3692.5357.859912.84855.017.136.000.271SZIPOTOR27711.82143.0570.340613.38101-.309.1464.325.292CLR367.01295.3275.366544.5842864.588.12728.462.254RLR227.02622.7504.097165.2190839.412.162102.853.322。。2005。。。SSS=N1N1+N2×100%SN1N2“”2001122007322。200720089“”“”、、BSISLL=LnP1-LnP0TMTMVLP1P0TMTMV。CEFDitCEFDit=NAVit-PitNAVit×100%CEFDititPititNAVitit2001①20272001122008925、WIND。ShleiferThaler1991TORTOR=TMTMVTORTMTMVTORipoTORipo=TMipoTMVipoTORipoTMipoTMVipoLWRLWR=/LWR。。1256··、。。ir、ipotor、clr、rlr、SS、BS、IS、cefd、shtor、sztor、shl、szl、position。WIND《》、《》、。2001152008925。60016220042006IPO。20046258。IPOIPO、、ir、ipotor、clr、rlr434。303。。3。20011200266752002613200566164200792008925IPO64②3。。-ADF。4~6ADFAkaikeInformationCriterionAIC。1.ADF。20002004IPO。4。TstatasticADF1%level5%level10%levelAICBSCN1-4.610852***-3.52289-2.90178-2.588288.169128CEFDNN4-2.100263**-2.59842-1.94553-1.613763.140547CLRCN0-7.716457***-3.52158-2.90122-2.587982.101867IPOTORCT0-7.856167***-4.08688-3.47169-3.162957.41286IRCN0-8.24631***-3.52158-2.90122-2.587982.634101ISCN2-3.325097**-3.53003-2.90485-2.589917.732205SHLCT1-3.91757**-4.08871-3.47256-3.163452.453652SHTORCT0-6.300312***-4.08688-3.47169-3.162953.043758SSCN1-4.763608***-3.52289-2.90178-2.588288.089432D_cefdCN3-4.780681***-3.52705-2.90357-2.589233.0587654CTKCTK*****、*1％5％、10％。57··cefd。③2．ADF。TstatasticADF1%level5%level10%levelAICBSCN2-5.289275***-3.47119-2.87938-2.576368.258433CEFDCT0-3.859471**-4.01606-3.43798-3.143243.507514RLRCN0-48.05558***-3.47119-2.87938-2.57636-2.84573IPOTORCN0-10.17559***-3.47068-2.87916-2.576247.199584IRCT1-6.850429***-4.0157-3.4378-3.1431410.84358ISCN1-5.770063***-3.47093-2.87927-2.57638.882038SHLCN1-5.582483***-3.47093-2.87927-2.57632.277375SHTORCN3-4.381238***-3.47145-2.87949-2.576422.548051SSCN2-5.250949***-3.47119-2.87938-2.576368.007031SZLCN1-6.179022***-3.47093-2.87927-2.57633.156495SZTORCN3-4.24177***-3.47145-2.87949-2.576422.55390254。。3.ADF。TstatasticADF1%level5%level10%levelAICCEFDCN0-3.435424**-3.53836-2.90842-2.59185.286942CLRCN5-5.684669***-3.56543-2.91995-2.59791-0.20799IPOTORCT0-8.499089***-4.11044-3.48276-3.169377.494993IRCT1-4.259506***-4.11302-3.48397-3.1700711.67974POSITIONCN0-3.838555***-3.53836-2.90842-2.59185.543692SHLCT2-4.162999***-4.11568-3.48522-3.170793.164163SHTORCN0-5.762842***-3.53836-2.90842-2.59183.220818SSCN0-5.321149***-3.53836-2.90842-2.59187.848152SZLCT2-4.623839***-4.11568-3.48522-3.170793.373126SZTORCN0-6.467963***-3.53836-2.90842-2.59182.96081264。。2007④SPSS。KMOBartlett。1.20011～200266。BSCLRIPOTORISSHLSHTORSSD_CEFDBS1.000.005.000.800-.350.445.984-.404CLR.0051.000-.578.105-.149.001.025-.303IPOTOR.000-.5781.000.010.287-.093.014.192IS.800.105.0101.000-.285.369.787-.277SHL-.350-.149.287-.2851.000-.480-.321.289SHTOR.445.001-.093.369-.4801.000.426-.041SS.984.025.014.787-.321.4261.000-.427D_CEFD-.404-.303.192-.277.289-.041-.4271.000758··BS－0.404。BS、SS、IS。7SHLBS、SS、ISIPOTOR、SHTOR、SHTORBS。。。KMO0.5Bartlett'sP0。1EVIEWSSPSS。、。SS、BS、IS。IPO。S2。、。。S3S3。S3。CEFDD_CEFDCEFD。D_CEFDS3。2．2002613～200566。VariableS1S2S3BS1-0.5027570.1807950.134653D_CEFD0.2856980.250277-0.455744CLR-0.102460-0.6227680.195245IPOTOR0.0909500.6411050.117823IS1-0.4501160.1499950.146521SHL0.3065650.2226490.506368SHTOR-0.3183450.046483-0.643383SS1-0.4989100.1777260.1741988BSCEFDIPOTORISRLRSHLSHTORSSSZLSZTORBS1-.192.009.608-.083-.379.404.952-.312.409CEFD-.1921-.021.123-.107.123-.097-.170.025-.057IPOTOR.009-.0211-.053-.046-.009.136.023-.003.138IS.608.123-.0531-.096-.301.377.631-.309.390RLR-.083-.107-.046-.0961.147.028-.111.257-.043SHL-.379.