我国投资者情绪对股票市场收益率的影响研究

发布时间：2018-05-06 16:58

本文选题：投资者情绪 + 股市收益　；参考：《东北财经大学》2013年硕士论文

【摘要】：我国股票市场虽然经过一定发展,但尚不成熟,与国外较为成熟的股票市场相比存在较大不足。除上市公司质量低、市场波动大、法律制度不健全、投资者结构不合理等问题外,投资者非理性现象较为严重。作为反映投资者心理的重要指标,投资者情绪必然对投资者的行为和决策产生影响,进而对股票的收益波动产生重大影响。因此,研究投资者情绪与中国股票市场收益之间的关系是非常有必要的,其对于帮助投资者寻求超越市场的投资机会以及加强中国股票市场的监管效率、保障中国股市健康稳定持续发展具有重要的理论意义和现实意义。股市收益率和投资者情绪的关系是很多学者研究的课题,但由于情绪的难以度量以及这种关系的不确定性,目前研究并无明确结论。本文相对前人可能的创新之处有： (1)首次分阶段来研究股市收益与投资者情绪之间的相关关系,更好的体现了投资者情绪在周期内不同阶段内的变化,更全面的表明了我国股市周期不同阶段投资者情绪与股市收益之间的相互影响。 (2)本文对不同规模的股票平均收益与投资者情绪之间的关系都进行了实证分析,更全面的表明了我国的投资者情绪与股市收益之间的相关关系。与其他研究的样本数据的时间跨度相比,本文采用的数据更具有时效性。 (3)由于创业板成立时间较短,因此前人对创业板与投资者情绪之间的影响关系研究较少,本文对投资者情绪与创业板收益间的关系进行了对比研究,判断创业板收益与投资者情绪之间的相互影响是否显著。本文采用《股市动态分析》周刊杂志发布的“好淡指数”构造中期与短期投资者情绪的度量指标,以2005年6月17日至2013年8月9日间股市收益周数据及投资者情绪指数为研究样本,利用向量自回归模型和格兰杰因果检验等方法,对中国股市周期不同阶段股市收益与投资者情绪之间关系、不同规模股票收益与投资者情绪之间关系、创业板股市收益与投资者情绪之间关系分别进行了实证研究,得出如下结论： (1)总体而言,因我国股票市场成立时间尚短,正处于发展时期,发展较为不成熟。因此,股票市场中的投资行为包含了较多的不理性,短期投资者情绪对市场具有显著正影响,短期投资者情绪加剧了股市的波动,对市场起了推波助澜的作用。 (2)对投资者情绪与股市收益的分期研究表明,相对熊市而言,牛市中的投资者情绪对股市收益影响更加显著。牛市时期投资者充满了狂热的情绪,进而对股市收益影响更大。而震荡整理期内的投资者较为理性,对于未来的预期也会考虑更多的相关信息,认知偏差相对较小。 (3)投资者情绪对大盘股影响最大。综合来看,投资者情绪对参与者众多的大市值公司影响较大,而对于中小市值公司的影响较小,主要因为我国股市及投资者结构特点所致。投资于大盘股的投资者数量较多,价格的大幅波动需要较多资金参与,因此众多投资者对其的普遍预期会显著影响其收益；而相对于大市值公司股票,中小市值公司股票更易受庄家操控,相对于大盘股参与者中的散户更少,因此投资者在根据可获得信息对股市进行预测时,往往会出现较大偏差。 (4)与主板相比,创业板中的投资者具有更高的理性程度。作为新兴市场的创业板,具有投资者结构更为合理与稳定、市场参与度较低等特点,通过得出的结果可以看出,创业板收益率与主板相比受到情绪影响较小。主要原因包含政策和投资者结构两方面。
[Abstract]:Although the stock market of our country has been developed, it is not mature, and there is a big shortage compared with the mature stock market in foreign countries. In addition to the problems of low quality of the listed companies, large market fluctuation, unsound legal system and unreasonable investor structure, the irrational phenomena of investors are more serious. As an important indicator to reflect the investor psychology. It is necessary to study the relationship between investor sentiment and the earnings of China's stock market, so it is necessary to study the relationship between investor sentiment and the earnings of China's stock market. It is necessary to help investors seek investment opportunities beyond the market and strengthen the supervision of China's stock market. It is of great theoretical and practical significance to control the efficiency and ensure the healthy, stable and sustainable development of China's stock market.
The relationship between stock market returns and investor sentiment is a topic for many scholars, but there is no definite conclusion due to the indeterminacy of emotion and the uncertainty of this relationship.
(1) the relationship between stock market returns and investor sentiment is studied for the first time, and the change of investor sentiment in different stages of the cycle is better reflected, and the mutual influence between investor sentiment and stock market income in different stages of China's stock market cycle is more fully demonstrated.
(2) this paper makes an empirical analysis of the relationship between the average earnings of different stocks and the investor sentiment, and more fully shows the relationship between the investor sentiment and the stock market returns in our country. Compared with the time span of the sample data of other research, the data collected in this paper is more timeliness.
(3) because of the short time of the founding of the gem, there are few studies on the relationship between the emotion of the gem and the investor. This paper makes a comparative study on the relationship between investor sentiment and the earnings of the gem, and determines whether the mutual influence between the gem earnings and the investor sentiment is significant.
This paper adopts the measurement index of medium term and short-term investor sentiment in the "good weak index" published by the stock market dynamic analysis and magazine magazine, taking the stock market income week data from June 17, 2005 to August 2013 and the investor sentiment index as the research sample, using the vector autoregressive model and the Grainger causality test, to the Chinese stocks. The relationship between stock market returns and investor sentiment at different stages of the city cycle, the relationship between stock returns of different scale and investor sentiment, the relationship between the earnings of the gem stock market and the investor sentiment, and the following conclusions are drawn:
(1) in general, because the time of the establishment of the stock market in China is still short, the development of the stock market is not mature. Therefore, the investment behavior in the stock market contains more irrational, short-term investor sentiment has a significant positive impact on the market, short-term investor sentiment aggravates the volatility of the stock market and plays an important role in the market.
(2) a staging study of investor sentiment and stock market earnings shows that the investor sentiment in the bull market has a more significant impact on the stock market income relative to the bear market. The bull market investor is full of fanatical emotion and has a greater impact on the stock market returns. More related information, the cognitive bias is relatively small.
(3) investor sentiment has the greatest impact on large stock shares. In a comprehensive view, investor sentiment has a large impact on large market capitalization companies with a large number of participants, but small impact on small and medium market capitalization companies, mainly due to the structural characteristics of the stock market and investors in China. As a result, many investors have a significant impact on their general expectations, while smaller market capitalisation companies are more likely to be manipulated by market capitalisation than large market shares, and are less likely than large stock investors to predict the stock market.
(4) compared with the main board, the investor in the gem has a higher degree of rationality. As a new market, the investor structure is more reasonable and stable, and the market participation is low. Through the results, it can be seen that the ratio of the growth rate of the gem and the main board is less influenced by the emotion. The main reason is the policy and investment. Two aspects of the structure of the capital.

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

【参考文献】