基于行为金融的股市非对称性风险传导模式的研究

发布时间：2018-05-29 00:47

本文选题：投资者情绪 + 羊群效应　；参考：《复旦大学》2012年硕士论文

【摘要】：随着传统金融学理论越来越受到市场异象的挑战,支撑其发展的核心假设——理性人假设与有效市场假说——越来越难以成立：行为金融学从1980年代开始逐渐成为金融学领域研究的热点,其吸收了现代心理学的研究成果,将理论建立在现实的假设条件下,投资者心理因素逐渐被引入金融学研究。股市风险一般通过收益率波动率来体现,股市收益率波动率呈现明显的非对称性,利空消息和利好消息对市场的冲击程度不同,国内外有大量模拟和预测波动性的文献,但少有对非对称性进行原因探究的。本文在继承现有的预测和估计股市波动率模型的基础上,用行为金融的理论对波动率非对称性的传导机制进行研究。首先通过主成分分析法构建投资者情绪指数,找到其与股市收益率之间的关系,继而引入前景理论的价值函数对情绪指数进行建模；检验中国市场羊群效应的存在性；通过验证中国市场收益波动率的非对称性,在对称性模型基础上引入情绪指数作为扰动项,建立基于GARCH-M模型的SENT-GARCH-M-adj模型,再通过估计的收益波动率和在险价值VaR对新模型效果进行判断；检验市场情绪和潜在风险之间的因果关系；最后股市的非对称性风险是否在沪深两市之间产生溢出效应。通过对个体投资者的行为特征分析,以多重建模的形式分析非对称性风险是如何产生和传导的,实证数据结果均比较理想。经过大量的实证研究得出,中国市场上个体投资者表现出于与传统前景理论相反的风险偏好特征,利好消息对投资者情绪的冲击大于利空消息,投资者情绪对收益率产生同向的影响,投资者情绪对收益率波动率又产生非对称性作用,在羊群效应的作用下,产生螺旋加强效应,从而形成稳定的投资者情绪；而投资者情绪会在不同市场进行传播,进而非对称性风险产生溢出效应。
[Abstract]:As traditional financial theories are increasingly challenged by market visions, The core hypothesis-rational man hypothesis and efficient market hypothesis, which underpin its development, are becoming more and more difficult to establish: behavioral finance has gradually become a hot research topic in the field of finance since the 1980s, and it has absorbed the research results of modern psychology. Based on the hypothesis of reality, the psychological factors of investors are gradually introduced into the study of finance. The risk of stock market is generally reflected by the volatility of return. The volatility of stock market shows obvious asymmetry. The impact of bad news and good news on the market is different. There are a lot of literature on simulation and prediction of volatility at home and abroad. But there are few reasons for asymmetry. Based on the existing models of stock market volatility prediction and estimation, this paper studies the transmission mechanism of volatility asymmetry by using the theory of behavioral finance. The relationship between investor sentiment index and stock market yield is found by principal component analysis, and then the value function of foreground theory is introduced to model the emotion index, and the existence of herding effect in Chinese market is tested. By verifying the asymmetry of return volatility in Chinese market, an SENT-GARCH-M-adj model based on GARCH-M model is established by introducing emotion index as disturbance term on the basis of symmetry model. Then we judge the effect of the new model by the estimated return volatility and the value at risk VaR; test the causality between market sentiment and potential risk; finally, whether the asymmetric risk of stock market has spillover effect between Shanghai and Shenzhen stock market. By analyzing the behavior characteristics of individual investors, this paper analyzes how asymmetric risks are generated and transmitted in the form of multiple models. The results of empirical data are ideal. Through a large number of empirical studies, it is concluded that the performance of individual investors in the Chinese market is based on the characteristics of risk preference contrary to the traditional outlook theory, and the impact of good news on investor sentiment is greater than that on bad news. Investor sentiment has the same influence on yield, investor emotion has asymmetric effect on the rate of return fluctuation, under the action of herd effect, it has spiral strengthening effect, thus forming stable investor sentiment. Investor sentiment will spread in different markets, and then asymmetric risk spillover effect.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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