不同投资者情绪对股票价格行为的影响研究

发布时间：2018-01-06 17:01

本文关键词：不同投资者情绪对股票价格行为的影响研究　出处：《长沙理工大学》2013年硕士论文　论文类型：学位论文

【摘要】：经典金融理论研究的是完美市场和理性人假设下金融市场上的投资者行为，认为金融市场上资产的价格仅与资产的内在价值有关，资产价格的变动只受基本面信息的影响。近来兴起的行为金融理论认为金融市场中的投资者是有限理性的，在不完全的市场中，除了资产的基本价值即预期股息贴现值之外，投资者在投资过程中的心理因素也会对资产价格产生重要的影响。投资者情绪是投资者参与市场时的心理现象，始终贯穿于投资决策过程中，与投资者的理性思维同时存在，共同决定投资者的决策行为，会对资产的价格产生重要影响。自DSSW提出噪声交易模型以来，学者们从理论和实证方面证明了投资者情绪会显著影响股票收益及其波动，但目前国内对投资者情绪的研究更多地是检验投资者情绪与股票收益、和对股票收益波动之间的简单关系，对投资者情绪影响股票价格行为的微观机理，还鲜有提及；同时将投资者情绪分为积极情绪和消极情绪并考察其对股票价格的非对称影响相关的文献还较少，也没有形成统一的研究框架。本文首先基于行为金融学理论，分析了投资者情绪的形成过程及投资者情绪的特征；并考查了投资者在积极、消极两种不同的情绪特征下的行为特点，系统分析投资者情绪影响股票价格行为的影响机理。然后我们使用上证市场数据构建投资者情绪指数，去除其自相关得到情绪变动值；并构建虚拟变量回归模型、GARCH模型及RV-AR模型考查投资者情绪特征对股票价格行为的非对称影响。研究结果表明：在中国股票市场上，将积极与消极情绪分开考虑的模型对收益有更好的拟合；正面情绪和情绪的向上变动都对股票收益有显著的正向影响，而负面情绪和情绪向下变动对其影响并不明显，这是由于在情绪低落时期理性成分对市场起主导作用。另外，投资者情绪的波动对股票收益率的波动有显著的冲击。论文明确界定了投资者情绪新息的理论意义，结合投资者的情绪水平和情绪变动值，从微观视角更加全面、综合地考察了市场上的投资者情绪特征；同时，，论文运用多种方法考察了积极情绪和消极情绪对股票价格行为的非对称影响，所得结果具有一致性和稳健性，有助于全面理解投资者情绪影响股票市场的过程；论文同时也从市场层面对以往学者们心理学实验研究结论进行了检验。
[Abstract]:Study on the classical finance theory of investor behavior is perfect market and financial market under the assumption of rational people think the intrinsic value of the financial market asset prices only and assets related to the impact of asset price changes only by the fundamental information. Recently, the rise of behavioral finance theory suggests that investors in financial markets is limited rational and in the incomplete market, in addition to the basic value of assets is expected dividend discounted value, psychological factors of investors in the investment process will also have an important impact on asset prices.
Investor sentiment is a psychological phenomenon of investors to participate in the market, throughout the investment decision-making process, there are also investors and rational thinking, common decision-making behavior of investors, will have an important impact on asset prices. Since DSSW proposed the noise trading model to prove that scholars will significantly affect investor sentiment and stock returns the fluctuations from theoretical and empirical aspects, but the current domestic research on investor sentiment is more a test of investor sentiment and stock returns, and the simple relationship between the stock return volatility, the micro mechanism of stock price behavior influence investor sentiment, is rarely mentioned; while investor sentiment is divided into positive and negative emotions and study the asymmetric effects on stock prices of related literature are few, has not formed a unified framework.
Firstly, based on behavioral finance theory, analyzes the formation process and characteristics of investor sentiment of investor sentiment; and the investors in the positive and negative behavior characteristics of two different emotional characteristics, system analysis of investor sentiment affects the stock price behavior influence mechanism. Then we use the Shanghai market data to construct investor sentiment index. Remove the autocorrelation value and get emotional changes; construct the dummy variable regression model, the asymmetric effect of GARCH model and RV-AR model to examine the characteristics of investor sentiment on stock price behavior. The research results show that: in the Chinese stock market, the positive and negative emotion separately considering the model has a better fitting of positive emotions and income; the mood to change on stock returns have significant positive effects, while negative emotions and emotional downward movements on its impact is unknown Obviously, this is due to low periods leading to the market rational elements play a role in emotion. In addition, the volatility of investor sentiment on stock returns volatility has a significant impact. The paper clearly defines the meaning of investor sentiment theory innovation, combined with the emotional and emotional changes in the value of investors, from the micro perspective is more comprehensive and integrated effects of investor sentiment on the market characteristics; at the same time, the use of various methods of study of asymmetric effects of positive and negative emotions on the stock price behavior, the results are consistent and robust, contribute to the process of the stock market to fully understand the impact of investor sentiment; at the same time from the market in the conclusion of previous scholars of psychology experimental study of the test.

【学位授予单位】：长沙理工大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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