中国股票市场投资者情绪指数的设计与应用研究

发布时间：2018-04-09 19:07

本文选题：投资者情绪　切入点：主成分分析法　出处：《广东财经大学》2013年硕士论文

【摘要】：近年来，我国学者对投资者情绪进行了许多研究，但在投资者情绪综合指标设计方面却没有一个能得到国内学者一致认可的成果。本文以得到学术界内认可的投资者情绪基础指标为基础，运用主成分分析法，试图构建一个能够度量我国股票市场投资者情绪的综合指标。论文主体由三部分组成。首先，本文以封闭式基金折价率、A股净增开户数、换手率、成交量与消费者信心指数五个基础情绪指标为基础，运用主成分分析法，，构建出一个能够从多个方面衡量我国股票市场投资者情绪的综合指数。在所构建的指数中，消费者信心指数比重最大，A股净增开户数比重最小。其次，对所设计的情绪指数与上证指数收益率进行线性回归分析，发现投资者情绪的变化对上证指数收益有显著影响。在此基础上，本文将投资者情绪因素考虑到CAPM模型中，构建了一个情绪CAPM模型。通过对经典CAPM模型和情绪CAPM模型在我国股市的实证检验结果对比，本文发现情绪CAPM模型具有更好的显著性及拟合度，进一步验证了本文设计的投资者情绪综合指数的合理性。最后，本文分别从投融资指导和政府监管与政策制定两方面介绍了本文所设计的投资者情绪综合指数在实际中的应用。本文研究内容无论是理论上，还是实际上都是非常有价值的，它有助于我们更好地了解我国股票市场。
[Abstract]:In recent years , Chinese scholars have carried out a lot of research on investor sentiment , but there is no achievement in the design of investor sentiment comprehensive index . This paper is based on the investor sentiment base index recognized in academia , and tries to construct a comprehensive index which can measure investor sentiment in China ' s stock market by using principal component analysis method .

Based on the five basic emotion indexes of closed - end fund discount rate , A - share net increase , turnover rate , turnover and consumer confidence index , the thesis constructs a comprehensive index which can measure the investor sentiment in China ' s stock market from various aspects .

Secondly , based on the linear regression analysis of the design sentiment index and the yield of Shanghai stock index , it is found that the change of investor sentiment has a significant influence on the earnings of Shanghai stock index . On the basis of this , we have constructed an emotion CAPM model in CAPM model . By comparing the classic CAPM model and the emotion CAPM model in China ' s stock market , this paper finds that the emotion CAPM model has better significance and fit , and further validates the rationality of the investor sentiment index .

Finally , this paper introduces the application of investor sentiment index in practice from the aspects of financing guidance and government supervision and policy formulation .

It is very valuable to study the content , both in theory and in practice , which will help us understand our stock market better .

【学位授予单位】：广东财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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