投资者情绪对股市收益的影响分析

发布时间：2018-01-29 16:24

本文关键词： 投资者情绪股市收益主成份分析 EGARCH 方差分析　出处：《贵州财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：投资者情绪作为一个新兴的研究课题，在证券市场中，对非理性投资行为的解释表现出无可比拟的优势。我国证券市场由于发展时间有限，与国外成熟市场相比，表现出一些不合理现象，这就需要运用行为金融学的相关理论进行解释。结合我国投资者的心理变化和市场现状，选取一些具有代表性和现实意义的投资者情绪隐性代理变量，利用主成份分析法构建出符合中国投资者心理特征的情绪指数。然后与中国沪深A股市场收益率的波动趋势进行比较，检验其是否能够反映中国股市收益的特点，进而验证两者的阶段性特征和相互之间的反作用。通过实证研究，可以得知：运用封闭式基金折价率、IPO数量，IPO上市首日收益率，消费者信心指数，新增开户数，市场换手率这六个变量构建出的投资者情绪综合指数比较合理，与股市收益呈现显著正相关关系，即投资者情绪高涨，股市收益显著提升，反之，则下降。投资者情绪对股市的收益起到长期影响作用，阶段性特征明显，通过投资者情绪的变化可以预测未来股市的收益。两者之间的相互作用并非对称，投资者情绪对股市收益的影响较大，而股市收益对投资者情绪的影响较小。本文研究的内容与中国股市息息相关，对投资者情绪的研究可以引导投资者更为理性的投资，，对股市收益的分析可以使得监管部门对证券市场有效的调节。从而使得中国证券市场规范，高效的发展。
[Abstract]:Investor sentiment as a new research topic, in the securities market, the explanation of irrational investment behavior shows an unparalleled advantage. China's securities market due to limited development time. Compared with foreign mature markets, there are some unreasonable phenomena, which need to be explained by using the theory of behavioral finance, combined with the psychological changes of Chinese investors and the current situation of the market. Select some representative and realistic investor sentiment implicit proxy variables. The main component analysis method is used to construct the emotional index which accords with the psychological characteristics of Chinese investors, and then it is compared with the fluctuation trend of the yield of Shanghai and Shenzhen A-share market. Test whether it can reflect the characteristics of Chinese stock market returns, and then verify the stage characteristics of the two and the reaction between the two. Through the empirical study, we can know that: the use of closed-end fund discount rate of IPOs, IPO yield, consumer confidence index, the number of new accounts. The composite index of investor sentiment constructed by the six variables of the market turnover rate is reasonable and has a significant positive correlation with the stock market returns, that is, the investor sentiment is high, the stock market returns are significantly increased, and vice versa. Investor sentiment has a long-term effect on the stock market returns, and the stage characteristics are obvious. The future stock market returns can be predicted by the change of investor sentiment. The interaction between the two is not symmetrical. Investor sentiment has a greater impact on stock market returns, while stock market returns have less impact on investor sentiment. The content of this study is closely related to the Chinese stock market. The study of investor sentiment can guide investors to invest more rationally. The analysis of stock market returns can make the regulatory authorities regulate the securities market effectively, thus making the securities market of China develop in a standardized and efficient manner.
【学位授予单位】：贵州财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F832.51

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