投资者情绪对于股票收益的影响

发布时间：2018-03-10 05:09

本文选题：投资者情绪　切入点：噪声交易模型　出处：《安徽财经大学》2012年硕士论文　论文类型：学位论文

【摘要】：传统的金融学理论主要基于两个基本假设：“完全有效市场”假设和“理性人”假设。然而在实践中,越来越多的现象表明,传统的金融理论在解释许多现象时是无效的,市场中存在着大量与传统理论不符的异常现象。为了解释这些异常现象,学者们通过将心理学和社会学的相关理论引入金融学,创立了行为金融学。行为金融学家认为,市场中的投资者并非是完全理性的,他们的非理性的行为会引起股票价格的异常波动,从而使得价格偏离其基本的价值。这种导致价格偏离的因素,被行为金融学家称之为“投资者情绪”,它是导致股票价格发生变化的系统性风险之一,并且是影响价格的重要因素。在上述背景下,本文首先推导了噪声交易模型,通过该模型来揭示投资者情绪影响股票收益的机制。然后通过主成分分析的方法将封闭式基金折价率、成交量、成交额、每周新增开户数四个指标加以分析,然后提取能够代表投资者情绪的代理变量。通过与上证综合指数周指数的对比,观察其相关性,并运用GARCH模型加以定量分析,分析其具体相关程度。研究结果表明：在给定上证指数的前提下,投资者情绪的变化不仅能够显著地影响收益,而且显著地反向修正风险(收益波动)。这一结论给理论观点提供了数据上的支持,投资者情绪的确是一个影响金融资产价格和收益波动的系统性因素。
[Abstract]:The traditional financial theory is based on two basic hypotheses: "completely efficient market" hypothesis and "rational man" hypothesis. However, in practice, more and more phenomena show that the traditional financial theory is ineffective in explaining many phenomena. In order to explain these abnormal phenomena, the scholars introduced psychology and sociology theories into finance and founded behavioral finance. Behavioral financiers believe that investors in the market are not completely rational, and that their irrational behavior can cause unusual fluctuations in stock prices, leading to price deviations from their basic value. Behavioral financiers call it "investor sentiment", which is one of the systemic risks leading to changes in stock prices and an important factor affecting prices. Under the above background, this paper first deduces the noise trading model, through this model to reveal the investor sentiment influence the stock return mechanism. Then through the principal component analysis method, the closed-end fund discount rate, the turnover, the turnover, the transaction volume, the closed end fund discount rate, the turnover, the transaction volume, then, The four indexes of new account opening each week are analyzed, and then the proxy variables which can represent investor sentiment are extracted. By comparing with the weekly index of Shanghai Composite Index, the correlation is observed, and the quantitative analysis is made by using GARCH model. Analyze its specific correlation degree. The results show that under the premise of given Shanghai Stock Exchange Index, the change of investor sentiment can not only significantly affect the return, but also significantly reverse revise the risk. This conclusion provides the data support for the theoretical point of view. Investor sentiment is indeed a systemic factor that affects the volatility of financial asset prices and returns.
【学位授予单位】：安徽财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F830.91

【参考文献】