中国投资者情绪与股票市场收益关系研究

发布时间：2018-05-27 06:04

本文选题：投资者情绪 + 股票市场收益　；参考：《宁波大学》2013年硕士论文

【摘要】：随着金融市场的不断发展，出现了传统金融无法解释的各种异象，作为新兴金融理论的行为金融理论利用心理学等社会科学为解释这些异象的产生做出了重大的贡献，其中投资者情绪理论是热点问题。由于我国的股票市场发展时间短，相比国外发达的股票市场更是存在众多问题，因此研究我国投资者情绪与股票市场收益之间的关系，，对于理解股票市场中出现的各种现象及加强股票市场风险管理和控制具有重要的意义。本文首先对相关理论做了全面的综述，然后分析了我国股票市场现状及投资者情绪对我国股票市场的实际影响。基于理论研究提出3个假说。本文最终选取新增股票开户数、IPO上市首日收益、股票市场换手率和消费者信心指数4个指标利用主成分分析法构建了复合投资者情绪指数。利用结构性向量自回归模型对股票市场总体收益与投资者情绪之间关系进行实证研究；利用GARCH模型分析投资者情绪对不同类股票市场收益和投资者情绪对股票市场收益波动影响进行了实证研究。通过实证研究得出以下结论：第一，投资者情绪对股票市场收益存在显著正向影响，股票市场收益对投资者情绪同样存在显著正向影响；且投资者情绪与股票市场收益互为格兰杰原因；第二，投资者情绪变动对股票市场收益波动有显著的影响，即投资者情绪是造成股票收益风险加大的缘由之一；第三，投资者情绪对大盘股，中盘股，小盘股的影响是逐步增大的，即投资者更倾向于购买投机性更大的股票。
[Abstract]:With the continuous development of the financial market, there are various anomalies that can not be explained by the traditional finance. The behavioral finance theory, as a new financial theory, has made great contributions to the explanation of these anomalies by using the social sciences such as psychology. Among them, investor sentiment theory is a hot issue. Because of the short development time of stock market in our country, compared with the developed stock market in foreign countries, there are many problems, so the relationship between investor sentiment and stock market income in our country is studied. It is of great significance to understand the various phenomena in the stock market and to strengthen the risk management and control of the stock market. This paper first summarizes the relevant theories, and then analyzes the current situation of stock market and the influence of investor sentiment on Chinese stock market. Three hypotheses are proposed based on theoretical research. This paper finally selects the number of new stocks to open and the first day of IPO earnings, stock market turnover rate and consumer confidence index four indicators using principal component analysis to construct a composite investor sentiment index. Using structural vector autoregressive model, the relationship between total returns and investor sentiment in stock market is studied empirically. The GARCH model is used to analyze the effect of investor sentiment on the return of different stock markets and the impact of investor sentiment on the volatility of stock market returns. The conclusions are as follows: First, investor sentiment has a significant positive impact on stock market returns, and stock market returns also have significant positive effects on investor sentiment, and investor sentiment and stock market returns are mutually Granger reasons. Second, the change of investor sentiment has a significant impact on the volatility of stock market returns, that is, investor sentiment is one of the reasons for increasing the risk of stock returns. Third, the effect of investor sentiment on large-cap, mid-market and small-cap stocks is gradually increasing, that is, investors are more inclined to buy more speculative stocks.
【学位授予单位】：宁波大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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