投资者情绪与股指关系的实证研究

发布时间：2018-01-02 04:13

本文关键词：投资者情绪与股指关系的实证研究　出处：《复旦大学》2013年硕士论文　论文类型：学位论文

【摘要】：行为金融学理论在投资者行为和心理方面的研究成功的解释过很多股票市场的异像,因此受到人们的广泛关注。投资者情绪是刻画投资者心理的一个重要指标,因此也成为行为金融学研究的一个很重要的方面。在行为金融学的框架里,投资者情绪是决定资产价格和市场运行的一个非常重要的因素。中国股市市场己发展了20年,但在这段时间里,股票市场暴涨暴跌,投资者犹如坐过山车一样,情绪也跟着大起大落,时而兴奋,时而悲伤。股票市场大幅波动似乎难以用经济、货币等因素来合理解释,而这些与投资者心理有非常大的关系,也就是本文要研究的话题——投资者情绪。开展投资者情绪研究的意义在于：第一,有助于理解投资者行为如何影响股市波动,更好的理解股票市场运行机制。第二,有助于完善和丰富现有的行为金融学理论。第三,有助于投资者发现股票市场的“错误定价”,帮助投资者获得超额收益。第四,有助于监管者把握大众投资者的心理特征,以及这些心理变化对证券市场造成的影响,及时为监管者提供调控政策建议,避免股市大起大落。如何度量投资者情绪是本文最关键的一个问题,国内外学者提出了度量投资者情绪的显性指标和隐性指标,并验证过了这些指标可以作为投资者情绪指数。不过这些指标都有他们明显的缺陷,本文试图通过因子分析方法,利用单个的情绪代理指标构建投资者情绪综合指数,并用它来检验对未来股票指数收益的预测能力。通过实证研究,本文发现,单个情绪代理变量对股票指数收益的预测效果不甚理想。本文利用构建出来的投资者情绪综合指数(CIIS)的月度数据对申万大盘指数、申万中盘指数和申万小盘指数未来1个月、3个月及6个月的收益率进行回归后发现,投资者情绪综合指数能够较好的预测股票指数的收益。
[Abstract]:The research of behavioral finance theory in investor behavior and psychological aspects of success explained as many different stock market, so it has received extensive attention. Investor sentiment is an important index to depict investor psychology, therefore also become a research finance behavior is an important aspect. In the framework of finance that investor sentiment is a very important factor in asset pricing and market operation.
China stock market has developed for 20 years, but during that time, the soaring stock market crash, the investor is like a roller coaster, the mood also follow the change radically, sometimes excited, sometimes sad. The sharp fluctuations in the stock market seems to be difficult to use economic, monetary and other factors to explain, but these investor psychology is very much also, this paper is to study the topic of investor sentiment.
Is to carry out research on investor sentiment significance: first, help to understand the behavior of investors how to affect the stock market volatility, the operating mechanism to understand the stock market better. Second, help to improve and enrich the existing behavioral finance theory. Third, to help investors find the stock market "mispricing", help investors to obtain excess returns fourth, help the regulators to grasp the psychological characteristics of public investors, and the influence of these psychological changes caused by the securities market regulation, provide policy recommendations for regulators, to avoid the stock market ups and downs.
How to measure the investor sentiment is one of the most crucial problem in this paper, the domestic and foreign scholars put forward the explicit and implicit index measure of investor sentiment, and verified these indexes can be used as investor sentiment index. But these indexes have their obvious flaws, this paper through the method of factor analysis, construct the investor sentiment index using individual sentiment proxies, and use it to test the future stock index returns prediction ability.
Through empirical research, this paper found that the prediction effect of single mood proxy variables on the stock index return is not ideal. The comprehensive index of investor sentiment in the construction of the (CIIS) monthly data of Shanghai million market index, Shen Wan index and the small cap index million over the next 1 months, 3 months and 6 months rate of return regression found that investor sentiment index can predict the stock index better returns.

【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F832.51

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