A基金的投资者情绪管理模型研究

发布时间：2018-01-09 22:32

本文关键词：A基金的投资者情绪管理模型研究　出处：《郑州大学》2017年硕士论文　论文类型：学位论文

【摘要】：传统的金融理论是以有效市场假说为前提的,认为市场中的投资者都是理性人,投资者的行为不会对市场产生额外影响,其情绪也不会影响资产价格从而产生套利机会。但随着一系列金融异常情况的出现,传统金融理论已经无法做出合理有效的解释,行为金融理论应运而生。通过大量理论及实证研究,行为金融理论发现市场中的投资者并非是完全理性的,会受到各种信息和情绪的影响,其非理性特征也表现多样,此外,投资者的行为和决策也会影响股票市场的走势。此后该理论又把投资者情绪引入资产价格中,为解释资产价格的波动提供了新思路,为进一步制定投资决策提供了新方法。由于我国A股市场是一个非有效市场,信息不对称且透明度较低,在这种情况下,为了更有效的选择价值较高且发展前景好的上市公司股票,就需要充分考虑投资者情绪和行为的影响。而随着网络的普及,越来越多的投资者花费大量的时间和精力从网络股吧中获取市场信息,股吧不仅在投资者的信息获取过程中扮演着越来越重要的角色,也对投资者的情绪蔓延和交易行为产生了一定的影响。投资者的情绪是连接投资者、基金公司和市场的桥梁,作为投资主体进行信息的发布和情绪的表达,不仅会对自己的决策产生影响,也会使其他投资者产生新的认知,进而影响基金业绩,所以,对投资者情绪的管理对基金公司而言十分必要,不仅可以及时了解市场与投资者的关注重点,而且可以根据投资者的情绪判断其行为,并制定新的投资策略。笔者在A基金公司实习期间,了解到公司致力于研究投资者情绪对市场的影响以及开发情绪管理模型的相关工作,在不涉及保密信息的前提下,根据前人思路的指导、通过实证研究的方法,再现了部分A基金情绪管理模型的开发研究并加入了笔者的想法和创新,希望该研究能够在实际操作中给投资者提供一些参考建议、从而推动投资者情绪管理在我国A股市场中的应用发展,促进我国金融市场的繁荣稳定。通过反映投资者情绪的直接指标和间接指标两个方面选取变量构建投资者情绪指数,可以建立投资者情绪管理模型。以用户覆盖范围广、影响力大的东方财富网股吧为数据来源,运用R软件等进行模型的测试和检验。实证结果证明构建的模型能够比较有效的指导选股并获得较好的收益。虽然存在局限性,但该模型依然可以对投资者的投资行为提供帮助,具有一定的适用性。
[Abstract]:The traditional financial theory is based on the efficient market hypothesis is the premise that market investors are rational, the behavior of investors will not produce additional impact on the market, the mood will not affect asset prices to generate arbitrage opportunities. But with the emergence of a series of abnormal financial situation, the traditional financial theory has been unable to make reasonable and effective the explanation emerges the behavioral finance theory. Through a large number of theoretical and empirical research, behavioral finance theory found in the market investors are not rational, will be affected by all kinds of information and emotions, the irrational features diversity, in addition, the behavior and decision of investors will also affect the trend of stock market. Then this theory the investor sentiment into asset prices, and provides a new way to explain the volatility of asset prices, for the further development of investment decision for the new party Method. Because of China's A share market is a non effective market, asymmetric information and transparency is low. In this case, in order to more effectively choose high value and good prospects for the development of the shares of listed companies, we need to fully consider the impact of investor sentiment and behavior. With the popularity of the network, more and more investors spend a lot of time and effort from the network shares in access to market information, shares investors not only in obtaining information plays an increasingly important role in the process, have a certain influence on investor sentiment spread and trading behavior. Investor sentiment is the bridge to connect investors, fund companies and market, expression as the main body of investment for the dissemination of information and emotion, will not only affect their decision-making, will also cause other investors to generate new knowledge, thereby affecting the performance of the fund, and so on Investor sentiment management is very necessary for fund companies, not only can understand the focus of the market and investors, but also according to the mood of investors to determine their behavior, and to develop a new investment strategy. The author during the internship at A fund company, understand the relevant work to the company is devoted to the study of investor sentiment on the market and the development of emotion management model, based on the non confidential information, according to the previous guidance, through empirical research methods, the research and development of A funds to reproduce the emotional management model and joined the author's ideas and innovation, hope the research can provide some suggestions to investors in the actual operation, so as to promote the application and development investor sentiment management in Chinese A stock market, promote the prosperity and stability of China's financial market by reflecting investor sentiment directly. The two indexes and indirect index variables to construct the investor sentiment index, investors can establish emotional management model. With the user covering a wide range of influential eastmoney.com shares as data source, test and test the model using R software. The empirical results show that the model can effectively guide the selection and comparison better returns. Although there are limitations, but the model still can provide help for the investment behavior of investors, and has certain applicability.

【学位授予单位】：郑州大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：C93;F832.51

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