由易志高和茅宁（2009）构建的中国投资者情绪指数CISI，选取封闭式基金折
[size=9.46713pt]价[size=2.74048pt]、[size=9.9654pt]交[size=9.46713pt]易[size=9.9654pt]量[size=2.98962pt]、IPO[size=9.9654pt]数[size=9.71626pt]量、[size=9.46713pt]上市首[size=8.47059pt]日[size=9.46713pt]收益[size=2.98962pt]、[size=9.46713pt]消[size=9.71626pt]费[size=9.9654pt]者信[size=9.46713pt]心指[size=10.2145pt]数[size=9.46713pt]和[size=9.9654pt]新[size=9.71626pt]增投[size=9.9654pt]资者[size=9.46713pt]开[size=9.21799pt]户[size=9.9654pt]数[size=12.955px]6个指标[size=2.98962pt]，[size=9.46713pt]同时控制[size=9.21799pt]了[size=9.46713pt]居[size=8.96886pt]民[size=9.71626pt]消费价格[size=9.46713pt]指[size=9.71626pt]数[size=2.98962pt]、[size=9.21799pt]工[size=9.9654pt]业[size=9.21799pt]品[size=9.46713pt]出[size=9.21799pt]厂[size=9.71626pt]价格[size=9.46713pt]指[size=9.9654pt]数[size=2.98962pt]、[size=9.46713pt]工[size=9.71626pt]业[size=9.46713pt]增[size=9.71626pt]加[size=10.2145pt]值[size=9.21799pt]和[size=9.71626pt]宏观经[size=9.9654pt]济[size=9.46713pt]景[size=9.9654pt]气[size=9.71626pt]指[size=9.9654pt]数[size=10.2145pt]等[size=9.46713pt]宏[size=9.71626pt]观[size=9.46713pt]经[size=9.9654pt]济[size=9.71626pt]变[size=9.46713pt]量[size=2.98962pt]，以剔除宏观经济的影响，通过主成分分析法[size=9.71626pt]构建[size=8.96886pt]了[size=9.71626pt]中[size=9.21799pt]国[size=9.46713pt]股[size=9.71626pt]票市[size=9.9654pt]场[size=9.71626pt]投[size=9.9654pt]资[size=9.71626pt]者情[size=9.9654pt]绪[size=9.71626pt]综[size=9.9654pt]合[size=9.46713pt]指[size=9.9654pt]数[size=9.46713pt]的[size=9.21799pt]月[size=9.9654pt]度[size=9.46713pt]指[size=9.71626pt]标。
[size=9.71626pt]此数据集为[size=12.955px]2003-02 ~ 2022-11期间的月度数据，部分数据情况如下：
[size=12.955px]
| 统计月度 | 基金折价率(%) | 上月交易量 | IPO个数 | IPO首日收益 | 上月新增投资者开户数 | 消费者信心指数 | 投资者情绪指数 | 标准化投资者情绪指数 | 标准化投资者情绪指数_剔除宏观经济因素 |
2003-02 | -12.8895 | 0.1815 | 3 | 4.6707 | 11.69 | 97.8 | 30.28 | -1.37 | -1.4 |
2003-03 | -17.0693 | 0.0943 | 6 | 4.7492 | 11.36 | 97.6 | 29.91 | -1.7 | -1.8 |
2003-04 | -20.2471 | 0.1231 | 5 | 4.4182 | 11.49 | 88.7 | 26.48 | -1.91 | -1.97 |
2003-05 | -21.0241 | 0.3241 | 2 | 8.4551 | 12.05 | 85.7 | 26.3 | -1.27 | -1.16 |
2003-06 | -15.9344 | 0.1821 | 7 | 4.5799 | 11.75 | 88.6 | 28.14 | -1.57 | -1.58 |
2003-07 | -19.2995 | 0.1426 | 9 | 1.6012 | 11.99 | 91.2 | 27.7 | -1.66 | -1.71 |
2003-08 | -20.3133 | 0.135 | 9 | 2.4349 | 11.66 | 92.7 | 28 | -1.75 | -1.8 |
2003-09 | -21.5803 | 0.0901 | 7 | 2.2727 | 11.43 | 93.1 | 27.14 | -1.98 | -2.07 |
2003-10 | -23.3128 | 0.1011 | 5 | 3.5702 | 11.41 | 94.2 | 26.94 | -1.95 | -2.03 |
2003-11 | -23.1072 | 0.0997 | 4 | 2.0189 | 11.23 | 94.5 | 26.24 | -2.1 | -2.18 |
2003-12 | -21.872 | 0.1757 | 5 | 3.4768 | 11.68 | 95.3 | 27.66 | -1.65 | -1.67 |
2004-01 | -25.7551 | 0.2523 | 4 | 3.3802 | 12.05 | 95.4 | 26.67 | -1.46 | -1.42 |
2004-02 | -27.7433 | 0.1982 | 3 | 8.566 | 11.67 | 95.2 | 27.4 | -1.53 | -1.54 |
2004-03 | -26.8589 | 0.3654 | 10 | 5.2539 | 12.79 | 95.4 | 28.89 | -0.8 | -0.66 |
CISI指数_易志高和茅宁.xlsx
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