中国证券市场投资者情绪与羊群效应的关联性研究

发布时间：2018-01-09 14:09

本文关键词：中国证券市场投资者情绪与羊群效应的关联性研究　出处：《南京财经大学》2012年硕士论文　论文类型：学位论文

【摘要】：现代金融理论认为投资者是理性的，在理性人的假设条件下市场是有效的。个体投资者的行为对市场不会产生影响，因为即使有非理性的投资者存在，也会被套利者赶出市场。但行为金融理论放宽了理性人的假设，认为投资者是非理性的或者是有限理性的，运用心理学和行为学对投资者的行为作出了解释。在非理性或有限理性条件下，投资者情绪会影响投资者行为，而投资者行为会对资产定价产生影响，进而影响整个金融市场。本文在此理论框架下，研究了中国证券市场投资者情绪与羊群效应的相互关系。全文的研究结论可以归纳为以下三个方面：（1）当前对投资者情绪的定义还很模糊，现有学者从不同角度提出了考察投资者情绪的指标，本文认为单一指标在考察投资者情绪问题上相对片面，在此基础上本文参考了现有学者对投资者情绪的研究，选取相关的指标作为投资者情绪的代理变量，运用主成分分析法构建投资者情绪指数，研究表明所构建的投资者情绪指数很好的反映了证券市场投资者的情绪，综合指数要优于单一指标。（2）关于羊群效应的研究，现有学者从理论到实证都对其进行了不同程度的研究。本文综合已有的研究成果，对中国证券市场的羊群效应进行了实证分析，，研究结果表明：中国证券市场存在显著的羊群行为，在此基础上，运用“滑动窗”技术对中国证券市场上的羊群效应进行了动态分析，发现我国证券市场羊群效应普遍存在，且在不同时期，羊群效应的程度有所差别。（3）当前对于证券市场投资者情绪与羊群效应的关联性研究还很少。鉴于此，本文考察了中国证券市场投资者情绪与羊群效应的关系。研究结果表明：中国证券市场投资者情绪与羊群效应存在长期的均衡关系。投资者情绪的高涨和低落都会导致证券市场羊群效应程度加深。进一步研究发现，投资者情绪可能是导致羊群效应的一个因素，而证券市场羊群效应的大小也会影响投资者情绪的变化，两者相互之间具有一定的解释作用。
[Abstract]:Modern financial theory holds that investors are rational and the market is effective under the assumption of rational people. The behavior of individual investors will not affect the market because even if there are irrational investors. But behavioral finance theory has relaxed the hypothesis of rational people that investors are irrational or limited rational. Using psychology and behavior to explain the behavior of investors. Under irrational or limited rational conditions, investor sentiment will affect investor behavior, and investor behavior will have an impact on asset pricing. In this theoretical framework, the relationship between investor sentiment and herding effect in China's securities market is studied. The conclusions of this paper can be summarized into the following three aspects: At present, the definition of investor sentiment is still very vague. The existing scholars put forward the index of investor sentiment from different angles. This paper thinks that the single index is relatively one-sided in examining investor sentiment. On this basis, this paper refers to the existing scholars' research on investor sentiment, selects relevant indicators as proxy variables of investor sentiment, and constructs investor sentiment index by principal component analysis. The research shows that the constructed investor sentiment index well reflects the investors' sentiment in the securities market, and the composite index is better than the single index. 2) on the research of herding effect, the existing scholars have studied it in different degrees from theory to demonstration. This paper makes an empirical analysis of herding effect in Chinese stock market by synthesizing the existing research results. The results show that there is remarkable herding behavior in China's securities market. On the basis of this, the "sliding window" technique is used to analyze the herding effect in China's securities market. It is found that herding effect exists generally in China's securities market, and the degree of herding effect varies in different periods. 3) there are few studies on the relationship between investor sentiment and herding in the securities market. This paper examines the relationship between investor sentiment and herding effect in China's securities market. The results show that:. There is a long-term equilibrium relationship between investor sentiment and herding effect in China's securities market. The upsurge and depression of investor sentiment will lead to the deepening of herding effect in the securities market. Investor sentiment may be one of the factors leading to herding effect, and the size of herding effect in securities market will also influence the change of investor sentiment.
【学位授予单位】：南京财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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