我国投资者情绪与上证综指股市收益的实证分析

发布时间：2018-02-26 03:21

本文关键词： 投资者情绪股票收益 VAR模型　出处：《宁波大学》2012年硕士论文　论文类型：学位论文

【摘要】：行为金融理论认为投资者情绪会影响投资者的决策模式,进而影响股票收益；另一方面,市场的涨跌也会使得人的情绪发生变化,即市场收益也会影响投资者情绪。本文就是在中国A股市场的背景下研究中国的投资者情绪与上证股市收益的相互影响关系。投资者情绪的衡量有直接指标和间接指标等构造方法,而综合直接指标和间接指标的方法因为比较全面,所以本文采用这种方法,通过主成分分析方法构造一个综合的投资者情绪指标,然后选择我国市场比较认可的上证指数,研究这两者的相互影响关系。本文的研究分成了六章。第一章分析了本文的选题角度和研究的目的,然后对国内外的对投资者情绪研究的文献进行了梳理和评价。第二章对投资者情绪的现有理论进行了分析。第三章选择几个指标构建了一个反映中国投资者情绪的指标,并通过计量方法研究了投资者情绪与股票收益的相互影响关系。第四章研究了投资者情绪在不同市态下对股市收益的阶段性影响。第五章中本文基于VAR模型实证分析了投资者情绪与股市收益之间的相互影响关系。第六章是全文的结论,据以得出政策建议,以及对以后研究的展望。本文的研究结论归纳如下：对于是否可以将封闭式基金折价作为投资者情绪,本文从主成分分析的结果发现封闭式基金对投资者情绪的影响比较小,不是一个比较合适的代表投资者情绪的指标。投资者情绪和它的上一期值对股市收益的影响是正向的,相比较而言,投资者情绪的本期值对股市收益的影响相对要大。投资者情绪对股市收益的影响具有阶段性的特征。在牛市阶段,投资者情绪对股市收益的影响比较大；而在市场低迷的时候投资者情绪对股市收益的影响要小得多。基于本文的结论,政府应该在以下方面做出改进：第一,对中小投资者这个弱势群体需要政府的保护。第二,有关部分应该建立一个投资者情绪的发布机构,专门监测市场的投资者情绪波动,编制一个权威的投资者情绪指数,来防止偶然的市场冲击对我国股票市场的影响。第三,政府需要加大对上市公司信息披露的监察,防止虚假消息和内幕消息导致的市场无效。第四,政府尽可能减少对股票市场的直接干预。
[Abstract]:Behavioral finance theory holds that investor sentiment will affect investors' decision-making patterns and thus affect stock returns; on the other hand, the market's ups and downs will also make people's emotions change. Under the background of Chinese A-share market, this paper studies the relationship between investor sentiment and Shanghai stock market return. The measures of investor sentiment include direct index and indirect index, and the method of synthesizing direct index and indirect index is more comprehensive, so this method is adopted in this paper. Through the principal component analysis method, we construct a comprehensive investor sentiment index, and then choose the Shanghai Stock Exchange Index, which is relatively recognized in our country's market. This paper is divided into six chapters. The first chapter analyzes the angle and purpose of this paper. The second chapter analyzes the existing theories of investor sentiment. Chapter three selects several indicators to construct an index to reflect the investor sentiment in China. The relationship between investor sentiment and stock returns is studied by econometric method. Chapter 4th studies the periodic influence of investor sentiment on stock market returns under different market conditions. Chapter 5th is based on VAR model. The relationship between investor sentiment and stock market returns is analyzed. Chapter 6th is the conclusion of this paper. Based on the policy recommendations, as well as the prospects for future research. The conclusions of this paper are summarized as follows:. As to whether closed-end fund discount can be regarded as investor sentiment, the result of principal component analysis shows that closed-end fund has little influence on investor sentiment, and is not a more suitable index to represent investor sentiment. Investor sentiment and the impact of its previous period on stock market returns are positive, compared with. The impact of investor sentiment on stock market returns is relatively large. The impact of investor sentiment on stock market returns is of a phased character. In the bull market stage, investor sentiment has a greater impact on stock market returns. The impact of investor sentiment on stock market returns is much smaller when the market is in the doldrums. Based on the conclusion of this paper, the government should make some improvements in the following aspects: first, small and medium-sized investors, as a vulnerable group, should be protected by the government. Second, the relevant part should establish a publishing body for investor sentiment. It is specialized in monitoring investor sentiment fluctuations in the market and compiling an authoritative investor sentiment index to prevent the impact of accidental market shocks on our stock market. Third, the government needs to step up monitoring of information disclosure by listed companies. Prevent false and insider information from causing market failure. 4th, the government minimizes direct intervention in the stock market.
【学位授予单位】：宁波大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.51

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