投资者情绪对中国股市收益与收益波动影响实证研究

发布时间：2018-01-02 08:38

本文关键词：投资者情绪对中国股市收益与收益波动影响实证研究　出处：《华中科技大学》2012年硕士论文　论文类型：学位论文

【摘要】：本文以2005~2012年中国股市收益率为样本，采用封闭式基金折价率、腾落指数、市盈率、换手率以及新开股票账户数五个周度指标，通过主成分分析法构建了一个符合中国股市的投资者情绪综合指数，然后利用EGARCH模型对投资者情绪和我国股市收益以及收益波动的相关性进行实证研究。研究结果表明，投资者情绪变化对股市收益率呈现正的相关性，而对股市收益波动率产生负的相关性。同时，我国股市存在明显的不对称效应，即利好消息对股市冲击要明显大于同等程度的利空消息，这一结论表明，，投资者情绪是影响我国股市收益率的一个系统性因子。另外，本文还对投资者情绪与特征股票组合收益之间的关系进行了实证研究。研究发现，当投资者情绪高涨的时候，亏损股、低成长性股以及小盘股的收益率较高，并且这些股票收益波动率也相对较高；当投资者情绪比较低落的时候，则正好相反。这主要是由于亏损股、低成长性股以及小盘股的投资者都是个体投资者，更容易受到投资者情绪的影响。同时，绩优股、高成长股以及大盘股都具有非对称效应，然而亏损股、高成长股以及小盘股却不具有非对称效应。
[Abstract]:In this paper, 2005~2012 annual income Chinese stock index as the sample, the closed-end fund discount rate, ADL, price earnings ratio, turnover rate and the number of new stock accounts for five weeks to build a index, with China investor sentiment index by principal component analysis, and empirical research on the relationship between the investor sentiment and earnings of China's stock market and the volatility by EGARCH model.
The results show that the change rate showed a positive correlation between investor sentiment on stock market returns, and the negative correlation of stock market volatility. At the same time, the existence of asymmetric effect of China's stock market, that is the good news for the stock market to be significantly greater than the impact of bad news of the same degree, the conclusion shows that investor sentiment is the effect of income I China's stock market rate of a systematic factor. In addition, this paper also makes an empirical study on the relationship between investor sentiment and the characteristics of stock portfolio returns. The study found that when investor sentiment, stock losses, low growth stocks and small cap stocks higher yields, and the volatility of stock returns is relatively high; when investors were depressed, is just the opposite. This is mainly due to the loss of stock, low growth stocks and small cap stocks, investors are more individual investors. It is easy to be influenced by investor sentiment. Meanwhile, blue chip stocks, high growth stocks and large cap stocks all have asymmetric effects. However, deficit stocks, high growth stocks and small cap stocks do not have asymmetric effects.

【学位授予单位】：华中科技大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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